Jonathan Treussard

Ziff Brothers Investments - Risk Management

New York, NY

United States

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 4,931

in Total Papers Downloads

6,847

CITATIONS
Rank 13,844

SSRN RANKINGS

Top 13,844

in Total Papers Citations

27

Scholarly Papers (13)

1.

Making Investment Choices as Simple as Possible: An Analysis of Target Date Retirement Funds

Number of pages: 15 Posted: 04 May 2006
Zvi Bodie and Jonathan Treussard
Boston University - Department of Finance & Economics and Ziff Brothers Investments - Risk Management
Downloads 2,070 (4,654)
Citation 5

Abstract:

Life-Cycle Planning under Uncertainty, Risky Labor Income, Target-Date Retirement Funds, Pension Design

2.

The Theory of Life-Cycle Saving and Investing

FRB of Boston Public Policy Discussion Paper No. 07-3
Number of pages: 27 Posted: 27 Jul 2007
Zvi Bodie, Jonathan Treussard and Paul Willen
Boston University - Department of Finance & Economics, Ziff Brothers Investments - Risk Management and Federal Reserve Bank of Boston - Research Department
Downloads 1,533 (6,735)
Citation 7

Abstract:

3.
Downloads 997 ( 16,852)
Citation 6

Contingent Claims Analysis and Life-Cycle Finance

MIT Sloan Research Paper No. 4676-08
Number of pages: 12 Posted: 27 Dec 2007 Last Revised: 16 Nov 2008
Zvi Bodie, Doriana Ruffino and Jonathan Treussard
Boston University - Department of Finance & Economics, Board of Governors of the Federal Reserve System and Ziff Brothers Investments - Risk Management
Downloads 654 (30,565)
Citation 6

Abstract:

contingent claims analysis, life-cycle finance, retirement saving plans

Contingent Claims Analysis and Life Cycle Finance

American Economic Review, Forthcoming
Number of pages: 12 Posted: 21 Jan 2008 Last Revised: 27 Mar 2012
Zvi Bodie, Jonathan Treussard and Doriana Ruffino
Boston University - Department of Finance & Economics, Ziff Brothers Investments - Risk Management and Board of Governors of the Federal Reserve System
Downloads 343 (69,265)
Citation 6

Abstract:

Contingent claims, job-switching, life-cycle, Arrow-Debreu securities

4.

Derman and Taleb's 'The Illusions of Dynamic Replication': A Comment

Number of pages: 5 Posted: 23 Mar 2006
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Ziff Brothers Investments - Risk Management
Downloads 755 (23,085)
Citation 3

Abstract:

Black-Scholes Formula, Option Pricing, Dynamic Replication

5.

The Non-Monotonicity of Value-at-Risk and the Validity of Risk Measures over Different Horizons

Number of pages: 13 Posted: 16 Aug 2005
Jonathan Treussard
Ziff Brothers Investments - Risk Management
Downloads 345 (69,391)

Abstract:

Decisions under Uncertainty, Value-at-Risk, Conditional Tail Expectation, Option Pricing Theory

6.

Optimal Age-Based Portfolios with Stochastic Investment Opportunity Sets

Number of pages: 18 Posted: 14 Jun 2006
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Ziff Brothers Investments - Risk Management
Downloads 197 (120,980)

Abstract:

Life-Cycle Investing, Welfare Analysis, First-Best Portfolios, Age-Based Investment Rules, Numerical Optimization

7.

Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach

Number of pages: 61 Posted: 18 Aug 2006
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Ziff Brothers Investments - Risk Management
Downloads 141 (159,296)
Citation 1

Abstract:

Real Options Games, Strategic Investment, Lumpy Investment, Investment Clusters, Duopolistic Competition, American Options, Early Exercise Premium Representation

Financial Frictions and Risky Corporate Debt

Number of pages: 9 Posted: 21 Mar 2006
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Ziff Brothers Investments - Risk Management
Downloads 128 (182,799)

Abstract:

Corporate Debt, Merton Model, No-Arbitrage Pricing

Financial Frictions and Risky Corporate Debt

Economic Notes, Vol. 36, No. 1, pp. 77-87, February 2007
Number of pages: 11 Posted: 01 Jun 2007
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Ziff Brothers Investments - Risk Management
Downloads 12 (498,988)

Abstract:

9.

Two Determinants of Lifecycle Investment Success

Journal of Retirement, vol. 2, no. 4, 2015 (Spring), pp. 14-21.
Posted: 01 Jun 2015 Last Revised: 07 Feb 2017
Jason C. Hsu, Jonathan Treussard, Vivek Viswanathan and Lillian J. Wu
Rayliant Global Advisors, Ziff Brothers Investments - Risk Management, Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

Investment Management, Retirement, Target Date Funds

10.

Life-Cycle Consumption Plans and Portfolio Policies in a Heath-Jarrow-Morton Economy

Boston University Economics Working Paper No. Sept-2005-01
Number of pages: 19 Posted: 12 Oct 2005
Jonathan Treussard
Ziff Brothers Investments - Risk Management
Downloads 97 (218,489)
Citation 2

Abstract:

Optimal portfolios, Detemple-Garcia-Rindisbacher, Heath-Jarrow-Morton model

11.

A Study of Inaction in Investment Games via the Early Exercise Premium Representation

Number of pages: 32 Posted: 17 Jul 2006
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Ziff Brothers Investments - Risk Management
Downloads 83 (244,677)
Citation 1

Abstract:

Real Options Games, Strategic Investment, Inaction Equilibria, American Options, Early Exercise Premium Representation

12.

Repeated Career Options: A Contingent Claims Approach

Number of pages: 29 Posted: 01 Aug 2007 Last Revised: 25 Oct 2007
Jonathan Treussard
Ziff Brothers Investments - Risk Management
Downloads 72 (264,035)
Citation 2

Abstract:

Career Choice, Occupational Mobility, American Options, Exchange Options, Reset Options, Compound Options

13.

Perspectives: Making Investment Choices as Simple as Possible, but not Simpler

Financial Analysts Journal, Vol. 63, No. 6, pp. 42-47, 2007
Posted: 11 Jun 2007
Zvi Bodie and Jonathan Treussard
Boston University - Department of Finance & Economics and Ziff Brothers Investments - Risk Management

Abstract:

Private Wealth Management, Asset Allocation, Investment Policy Formulation, Portfolio Management, Asset Allocation