Mark Lundin

Charles Schwab Investment Management

Director, Model Risk

9825 Schwab Way

Lone Tree, CO 80124

United States

http://www.schwab.com/

SCHOLARLY PAPERS

2

DOWNLOADS

477

CITATIONS

0

Scholarly Papers (2)

1.

Modern Pension Fund Diversification

Number of pages: 16 Posted: 19 Apr 2014 Last Revised: 02 Jul 2014
Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Charles Schwab Investment Management, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Kutak Rock, LLP and Independent
Downloads 308 (96,702)

Abstract:

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Mahalanobis distance, turbulence index, diversification, asset allocation, pension fund, risk, volatility

2.

Orthant Probabilities for Robust Correlation and Structural Performance Enhancement

Number of pages: 20 Posted: 02 Sep 2015 Last Revised: 08 Feb 2016
Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Kutak Rock, LLP, Charles Schwab Investment Management, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, University of Cambridge - Faculty of Economics and Politics and Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust
Downloads 169 (174,511)

Abstract:

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orthant, probability, portfolio, optimization, Sheppard's theorem, correlation, regime, risk