Optimal Discounted Portfolio, Expected Wealth and Strategic Consumption for a Defined Contribution Pension Scheme
|
|
- Joella Preston
- 5 years ago
- Views:
Transcription
1 Global Journal of Scinc Fronir Rarch Mahmaic and Dciion Scinc olum 3 u 7 rion. Yar 3 yp : Doubl Blind Pr Riwd nrnaional Rarch Journal Publihr: Global Journal nc. USA Onlin SSN: & Prin SSN: Opimal Dicound Porfolio, pcd Walh and Sragic onumpion for a Dfind onribuion Pnion Schm By.. Nkki Uniriy of Bnin, Nigria Abrac - hi papr dal wih opimal dicound porfolio, pcd walh and ragic conumpion proc for a dfind conribuion D pnion chm. h aim of hi papr ar o find: h opimal dicound porfolio and opimal dicound conumpion choic o b adopd by h pnion plan mmbr PPM up o rirmn priod; h pcd dicound walh and arianc of h pcd walh for h plan mmbr. h financial mark i compod by a rikl and a riky a, and h ffci alary of h plan mmbr i aum o b ochaic. h pcd dicound walh and i arianc ar obaind. h dicound porfolio and conumpion proc of h plan mmbr ar obaind. i find ha par of h dicound porfolio alu i proporional o h raio of h prn alu of h dicound pcd fuur conribuion o h opimal dicound walh alu orim. i alo find ha hr i h nd for gradual ranfr of par of h porfolio alu in riky a o h rikl on again unforn hock. Kyword : Sragic dicound conumpion, opimal dicound porfolio, pnion plan mmbr, n hock, ochaic alary, dfind conribuion, pnion chm. unfor- GJSFR-F laificaion : MS : 9G Opimal Dicound Porfolio, pcd Walh and Sragic onumpion for a Dfind onribuion Pnion Schm Sricly a pr h complianc and rgulaion of : 3... Nkki. hi i a rarch/riw papr, diribud undr h rm of h rai ommon Aribuion- Noncommrcial 3. Unpord Licn hp://craicommon.org/licn/by-nc/3./, prmiing all non commrcial u, diribuion, and rproducion in any mdium, proidd h original work i proprly cid.
2 Rf. Blanchard, O. J. and Fichr, S. 989, Lcur on Macroconomic. h M pr. Opimal Dicound Porfolio, pcd Walh and Sragic onumpion for a Dfind onribuion Pnion Schm.. Nkki Abrac - hi papr dal wih opimal dicound porfolio, pcd walh and ragic conumpion proc for a dfind conribuion D pnion chm. h aim of hi papr ar o find: h opimal dicound porfolio and opimal dicound conumpion choic o b adopd by h pnion plan mmbr PPM up o rirmn priod; h pcd dicound walh and arianc of h pcd walh for h plan mmbr. h financial mark i compod by a rikl and a riky a, and h ffci alary of h plan mmbr i aum o b ochaic. h pcd dicound walh and i arianc ar obaind. h dicound porfolio and conumpion proc of h plan mmbr ar obaind. i find ha par of h dicound porfolio alu i proporional o h raio of h prn alu of h dicound pcd fuur conribuion o h opimal dicound walh alu orim. i alo find ha hr i h nd for gradual ranfr of par of h porfolio alu in riky a o h rikl on again unforn hock. Kyword : ragic dicound conumpion, opimal dicound porfolio, pnion plan mmbr, unforn hock, ochaic alary, dfind conribuion, pnion chm. W conidr opimal dicound porfolio and dicound conumpion problm in a dfind conribuory pnion chm. hi papr follow h work of [4] and [6]. n hir papr, hy conidrd h opimal porfolio and ragic conumpion in h lifcycl of a PPM in pnion chm. Bu, h ara of dicound porfolio, dicound conumpion and h arianc of pcd dicound walh of a PPM ar y o b conidrd o h b of my knowldg in h liraur of financial mahmaic and acuarial cinc. n hi papr, w aum ha h PPM conum coninuouly hroughou hi or hr lif im and conumpion rmina whn h indiidual di. n h liraur, [9] conidrd a numrical oluion a wll a analyical rul o h inrmporal conumpion problm for porfolio managmn. [7] amind a racabl modl of prcauionary aing in coninuou im and aumd ha h uncrainy wa abou h iming of h incom lo in addiion o h aumpion of nonochaic a rurn. [3] conidrd labour upply flibiliy and porfolio choic of indiidual lif cycl. hy conidrd h objci of maimizing h pcd dicound lifim uiliy by aumd ha h uiliy funcion ha wo argumn conumpion and labour/liur. [] adopd h quadraic uiliy funcion ha characrizd a linar marginal uiliy funcion. hy ard ha h uiliy funcion wa no araci in dcribing h bhaiour of indiidual oward rik a i impli incraing abolu rik 3 Global Journal of Scinc Fronir Rarch F olum X u rion Yar 43 Auhor : Dparmn of Mahmaic, Faculy of Phyical Scinc, Uniriy of Bnin, P. M. B. 54, Bnin iy, do Sa, Nigria. -mail : nkkicharl3@yahoo.com 3 Global Journal nc. US
3 3 Global Journal of Scinc Fronir Rarch F olum X u rion Yar 44 arion. [3] concludd ha labour incom inducd h indiidual o in an addiional amoun of walh o h riky a. hy ablihd ha labour incom and inmn choic ar rlad, bu hy faild o analyzd h opimal conumpion proc of h inor. [4] udid h gnrally h opimal managmn of a dfind conribuion pnion plan whr h guaran dpnd on h ll of inr ra a a fid rirmn da. [5] conidrd opimal dynamic a allocaion ragy for a D pnion plan by aking ino accoun h ochaic faur of h plan mmbr lifim alary progrion and h ochaic propri of h a hld in accumulaing pnion fund. hy mphaid ha alary rik h flucuaion in h plan mmbr arning in rpon o conomic hock i no fully hdgabl uing iing financial a. hy furhr mphaizd ha wag-indd bond could b ud o hdg produciiy and inflaion hock. hy furhr ard ha uch bond ar no widly radd. hy rfrrd h opimal dynamic a allocaion ragy ochaic lifyling. hy compard i again ariou aic and drminiic lifyl ragi in ordr o calcula h co of adoping ubopimal ragi. hir oluion chniqu mad u of h prn alu of fuur conribuion prmium ino h plan. hi chniqu can b found in [], [4], [8]. Drminiic lifyling which i h gradual wich from quii o bond according o prn rul i a popular a allocion ragy during h accumulaion pha of D pnion plan and i dignd o proc h pnion fund from a caarophic fall in h ock mark ju prior o rirmn [], [5], [6]. [5] and [9] analyd nily h occupaional D pnion fund, whr h conribuion ra i a fid prcnag of alary. h claical dynamic lifim porfolio lcion in a coninuou im modl wa dlopd by [], []. [9] ud a dynamic programming approach o drid a formula for opimal inmn allocaion in a D chm and compard hr rik maur o analyzd h rminal n rplacmn raio achid by mmbr. hy uggd ha whn h choic of inmn ragy i drmind, rik profil of indiidual and diffrn rik maur ar boh imporan facor which hould b akn ino conidraion. n hi papr, w aim a finding h opimal dicound porfolio and opimal dicound conumpion choic o b adopd by h pnion plan mmbr PPM up o rirmn priod and h nir lifim; and h pcd dicound walh and arianc of h pcd dicound walh for h plan mmbr. h rucur of h rmaindr par of h papr i a follow. Scion prn h formulaion of h problm which includ h financial modl, walh proc and ochaic alary of a PPM. n cion 3, w prn h dicound walh and dicound conumpion proc of a PPM. Scion 4 prn h prn alu of dicound fuur conribuion of a PPM. n cion 5, w prn h aluaion of h dicound walh proc of a PPM. Scion 6 prn h opimal dicound porfolio and conumpion proc of a PPM. n cion 7, w prn h opimal pcd dicound walh aluaion and dicound conumpion proc of a PPM. Scion 8 prn h accumulad pcd dicound conumpion proc of a PPM. Finally, cion 9 conclud h papr. W conidr a coninuou-im financial mark whr hr ar wo inmn inrumn: a rikl and a riky a. h pric dynamic of h wo a ar gin, rpcily, by Rf 3. Bodi, Z., Mron, R.., and Samulon, W. F., 99 Labour upply flibiliy and porfolio choic in a lif cycl modl. Journal of conomic Dynamic and onrol, 6, Global Journal nc. US
4 db rb d, B, No ha ach conain all h P null of W dno by h of quar ingrabl adapd proc, and by h of quar ingrabl maurabl random ariabl, B pr, B ; 3 W aum ha h financial mark i arbirag-fr, compl and coninuouly opn bwn im and, i.., hr i only on proc aifying whr, i h mark pric of inflaion rik and and i h mark pric of ock rik. h ponnial proc µ d dw, S, ds S R. W allow r >, µ > r, o b conan. µ i h prdicabl -dimnional proc of c apprciaion ra in rlaion o h ock,, i a prdicabl proc of olailiy cor of ock, i olailiy of ock ariing from inflaion and i h olailiy ock ariing from h ock mark. W W i a, W ; R andard - dimnional Brownian moion on a filrd probabiliy pac Ω,, { wih W a null cor almo urly. W i h ourc of rik }, P [, ] of inflaion and W i h ourc of rik of h ock mark. W aum ha h filraion i gnrad by h Brownian moion and i righ coninuou, and L { } [, ] [, ] { } L L h proc adapd proc uch i aumd o b a maringal From and 4, w ha h dicoud facor o b { } ha [, ] [ ] d < i an F maurabl ar iabl uch ha.from, w ha, µ r, random [ ] < Z p W, L 4 3 Global Journal of Scinc Fronir Rarch F olum X u rion Yar 45 3 Global Journal nc. US
5 aking h diffrnial 5, w ha B h dynamic of h PPM ffci alary i gin by Z rd dw d Global Journal of Scinc Fronir Rarch F olum X u rion Yar 46 dy Y ω d dw, Y y>, whr Y i h alary of h PPM a im, ω i h pcd growh ra of alary of PPM and Y, i h olailiy cor of alary which i drin by h ourc of Y uncrainy of inflaion, W and h ock mark, W. h wo ourc of rik ar parial corrlad. W aum ha ω > i a conan and and i a conan cor. n hi cion, w conidr h dicound walh proc of h PPM in pnion chm. L porfolio proc ind in riky a a im and h conumpion proc a im, hn h pair i aid o b lf-financing if h corrponding walh proc X, [, ], aifi dx ds X X S db B cy d, whr rprn h proporion of h porfolio ind in cah accoun a im. Subiuing h a rurn in and ino 8, w obain h following dx r µ r cy d X dw, X hi i our ochaic diffrnial quaion which rprn h walh proc of h PPM a im. Uing 6 and 9, w ha h dicound walh proc o b d X c Y d X dw n hi cion, w prn h prn alu of pnion plan mmbr fuur conribuion in pnion chm. Dfiniion : h prn alu of h pcd dicound fuur conribuion proc i dfind a No cy d, 3 Global Journal nc. US
6 c> whr i h proporion of h alary conribud ino h pnion fund and i h condiional pcaion wih rpc o h Brownian filraion [ r],. Z p { } No i h ochaic dicoun facor which adju for nominal inr ra and mark pric of rik. Dfiniion : h pcd dicound fuur conumpion proc i dfind by W ak limi of ingraion in q. 3 from o bcau, w aum ha conumpion ar whn h PPM rird and conum hi/hr inmn bnfi ill h/h i dad. horm : L b h prn alu of pcd fuur conribuion ino h pnion fund, hn whr ϕ ω r Ψ u u du, [,. cy ϕ p[ ϕ ] Proof: Nwozo and Nkki. Find h diffrnial of bohid of q. 4, w obain d c Y d [ r d dw ] cy d Uing 6 and 5, w ha d dw Dfiniion 3: h alu of walh of h PPM i dfin a X. So ha h dicound alu of walh bcom X. hn, dynamic of h alu of h dicound walh of h PPM i obain a d d X d. Subiuing in and 6 ino 8, w obain h chang in walh of h PPM a follow: d d X dw Global Journal of Scinc Fronir Rarch F olum X u rion Yar 47 3 Global Journal nc. US
7 3 Global Journal of Scinc Fronir Rarch F olum X u rion Yar 48 n hi cion, w drid h opimal dicound porfolio and dicound conumpion proc of a PPM undr dynamic programming principl. W aum ha h PPM choo powr uiliy funcion in maimizing h pcd uiliy of h rminal dicound walh and conumpion proc. h choic of h powr uiliy which i a linar combinaion of wo powr uiliy funcion. h fir rm i wih rpc o h walh proc whil h cond i wih rpc h conumpion proc i moiad by h fac ha pnion chm ar in gnral larg inmn conpani who ragic plan ar wih rpc o h iz of fund hy ar managing. W now gi h opimal dicound porfolio and dicound conumpion proc for pnion fund plannr a im. h PPM problm i o choo an admiibl ragy o a o maimiz h pcd uiliy of accumulai conumpion and rminal dicound walh,, U, up J,,, whr W aum ha U i conca and,, [ ] U,, R R, i h PPM prfrnc dicoun facor, Π, of admiibl porfolio ragy ha ar ingrabiliy condiion, U J,,, U u, u du U, F <, d d <, X, progrily maurabl, ha aify h dno h condiional pcaion a im gin h iniial ndowmn, and h uiliy funcion i akn a,, U,< <. urn ou ha U, aifi h following Hamilon Jacobi Bllman quaion U U U U p U. No 3 Global Journal nc. US
8 hi yild h HJB quaion for h alu funcion, Η, U, No Subjc o: whr U,< <. Η, U U U U p Hnc, w ha h following opimal dicound porfolio and opimal dicound conumpion, rpcily a follow: * * U p[ ] du d whr,. U, U Subiuing q., and 9 ino q., w ha U U U U U 9 3 Global Journal of Scinc Fronir Rarch F olum X u rion Yar 49 U U p U, U U p p 36 3 Global Journal nc. US
9 W aum ha in hi papr ha 3 and U, Q Finding h parial driai of 3 wih rpc o h following: Q U,.,,,, 3, w ha No Global Journal of Scinc Fronir Rarch F olum X u rion Yar 5 U U U U U U Q Q Q Q Q Q Q W obr ha h aumpion of concaiy of U urn ou o b ru, a U <. U U Subiuing h parial driai ino 36 w ha < Q Q Q 4 can b ol numrically. inc, p 4 Q Suppo ha U, 5 hn 5 bcom Q Q p Q 6 3 Global Journal nc. US
10 Soling 6, w ha whr, 3 Global Journal nc. US 5 Global Journal of Scinc Fronir Rarch olum X u rion Yar 3 F Q Q, 4 3 ψ ψ Q r r ψ and hrfor, h opimal dicound profolio for h PPM a im i obaind a 7. ψ, * * * * X X X, * * * X X X h opimal dicound conumpion proc * of h PPM a im, gin ha 5 hold, i obaind * r h g 8 whr 4 3 ψ ψ g No
11 3 Global Journal of Scinc Fronir Rarch F olum X u rion Yar 5 and A im, 8 bcom whr and g r h. * ψ r ψ g h A im, 8 bcom * g h, whr and h r g h ψ ψ ψ ψ 3 4. ψ 3 4 Now, for < <, w ha inuiily ha h growh ra GR of h opimal pcd dicound conumpion i obain a GR r., hi i rfrrd o a h ulr quaion for h inrmporal maimizaion of dicound conumpion undr uncrainy. h poii rm capur h uncr No 8 3 Global Journal nc. US
12 3 Global Journal nc. US 53 Global Journal of Scinc Fronir Rarch olum X u rion Yar 3 F ainy of h financial mar. Whn h financial mark i riky, i will induc inor o hif conumpion or im. Suppo hr i no iniial walh, hn 3 bcom From 7, h fir rm i h ariaional form of h claical porfolio ragy whil h la rm i an inrmporal hdging ragy ha off any hock o h ochaic alary of h PPM. A, w ha n hi cion, w prn h opimal pcd alu of walh of h PPM in pnion plan a im. From 9, w ha ha r GR, *. dw d d dw d d d d d d d Soling, 33 and 34, w ha d 35 No
13 54 Global Journal of Scinc Fronir Rarch olum X u rion Yar 3 F No 3 Global Journal nc. US 36 whr, d Κ Κ d d. ϕ ϕ ϕ ϕ ω ϕ ω ϕ ω c c d c Κ d d ar A, w ha d ar. Κ d d h accumulad pcd dicound conumpion proc of h PPM up o rirmn priod i gin by Ψ du u d h g GR d g d h GR 39
14 Soling 39, w ha No whr Ψ f w allow o nd o infiniy, w ha ψ ψ 3 4 α α α lim αψ. limψ Ψ u du ψ 3 u du ψ 4. hi how ha hroughou h lif-cycl of h PPM, hi or hr accumulad pcd dicound conumpion will rmain nonmpy. f Ψ i nonngai, i impli ha h PPM i unabl o finihd hi or hr conumpion bfor h or h di. f Ψ i ngai, i impli ha h PPM i finihd hi or hr conumpion why ill ali. f Ψ i zro, i impli ha h priod h PPM finih hi or hr conumpion wa h priod h or h di. nringly, h naur of Ψ aboluly dpnd on h alu of,. hi impli ha h ll of rik h PPM ak will dpnd on how larg or how mall h alu of h accumulad dicound conumpion will b and conumpion ra. W obr ha a or, opimal pcd dicound conumpion will b unboundd. h opimal pcd dicound conumpion will b ngai if 3 Global Journal of Scinc Fronir Rarch F olum X u rion Yar 55 <, 3 Global Journal nc. US
15 and non ngai if >. 3 Global Journal of Scinc Fronir Rarch F olum X u rion Yar 56 hi papr dal wih opimal dicound porfolio, pcd walh and ragic lif-im conumpion proc for a dfind conribuory pnion chm. h pcd dicound walh and i arianc ar obaind. h dicound ariaional claical porfolio and conumpion proc of h plan mmbr ar ablihd. h accumulad dicound conumpion proc of h PPM hroughou hi or hr lif-cycl wa ablihd. wa found ha par of h dicound porfolio alu i proporional o h raio of h prn alu of h dicound pcd fuur conribuion o h opimal dicound porfolio alu orim. wa found ha hr i h nd for gradual ranfr of par of h porfolio alu in riky a o h rikl on again unforn hock.. Blak, D., Wrigh, D. and Zhang, Y., 8, Opimal funding and inmn ragi in dfind conribuion pnion plan undr pin-zin uiliy. Dicuion papr, h pnion niu, a Buin School, iy Uniriy, UK.. Blanchard, O. J. and Fichr, S. 989, Lcur on Macroconomic. h M pr. 3. Bodi, Z., Mron, R.., and Samulon, W. F., 99 Labour upply flibiliy and porfolio choic in a lif cycl modl. Journal of conomic Dynamic and onrol, 6, Boulir, J. F, Huang, S. J. and aillard, G.,, Opimal managmn undr ochaicinr ra: h ca of a procd dfind conribuion pnion fund. nuranc: Mahmaic and conomic, ol. 8, pp airn, A. J. G., Blak, D. and Dowd, K., 3, Sochaic lifyling: Opimal dynamic a allocaion for dfind conribuion pnion plan. RS Dicuion papr ri, h Uniriy of oingham. 6. ajuiro, D. O. and Yonyama,., 3, Opimal porfolio, Opimal conumpion and h Markowiz man-arianc analyi in a wiching diffuion mark. Working papr. 7. Flming, W. and Rihl, R., 975, Drminiic and ochaic opimal conrol. Springr-rlag, Nw York. 8. Korn, R. and Krkl, M.,, Opimal porfolio wih fid conumpion or incom ram. Working papr, Uniriy of Kairlaurn. 9. Maon, R. and Wrigh, S.,, h ffc of uncrainy on opimal conumpion, Journal of conomic Dynamic and onrol, 5, 85-. No 3 Global Journal nc. US
16 No. Mron, R.., Lifim porfolio lcion undr uncrainy: h coninuou-im ca. Riw of conomic and Saiic, 969, ol. 5, pp Mron, R.., 97, Opimum conumpion and porfolio rul in a coninuouim modl. Journal of conomic hory, ol. 3, pp Nkki,.., On opimal porfolio managmn of h accumulaion pha of a dfind conribuory pnion chm, Ph.D hi, Dparmn of Mahmaic, Uniriy of badan, badan, Nigria. 3. Nkki..and Nwozo. R,, ariaional form of claical porfolio ragy and pcd walh for a dfind conribuory pnion chm, Journal of Mahmaical Financ,, pp Nwozo. R. and Nkki,.., Opimal porfolio and ragic conumpion planning in a lif-cycl of a pnion plan mmbr in a dfind conribuory pnion chm, ANG nrnaional Journal of Applid Mahmaic, 44, pp och, P., A racabl modl of prcauionary aing in coninuou im. conomic lr, 5, 87, Global Journal of Scinc Fronir Rarch F olum X u rion Yar 57 3 Global Journal nc. US
Optimal Portfolio Strategy with Discounted Stochastic Cash Inflows
Journal of Mahemaical Finance 3 3 3-37 hp://dxdoiorg/436/jmf33 Published Online February 3 (hp://wwwscirporg/journal/jmf) Opimal Porfolio raegy wih iscouned ochasic Cash nflows Charles Nkeki eparmen of
More informationReceived August 16, 2013; revised September 27, 2013; accepted October 26, 2013
Journal of Mahemaical Finance 7-8 Published Online November (hp://wwwscirporg/journal/jmf) hp://dxdoiorg//jmf Opimal Variaional Porfolios wih Inflaion Proecion raegy and Efficien Fronier of Expeced Value
More informationParametric Tax Managed RU 3000 Select UMA Parametric Portfolio Associates
Paramric Tax Managd U 3000 Paramric Porfolio Associas 1918 8h Avnu, Sui 3100 Sal, Washingon 98101 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Blnd $230.1 billion $8.8 billion Yar Foundd: GIMA Saus:
More informationReconciling Economic and Biological Modeling of Migratory Fish Stocks: Optimal Management of the Atlantic Salmon Fishery in the Baltic Sea
MTT Discussion Paprs 1 006 Rconciling Economic and Biological Modling of Migraory Fish Socks: Opimal Managmn of h Alanic Salmon Fishry in h Balic Sa Kulmala, S., Laukkann, M. & Michilsns, C. MTT Discussion
More informationThe Theory and (Best) Practices of Liability-Driven Investment (LDI)
DHC Ae Managemen Day 2007 Geneva March 3 h 6:00-8:00 he heory and (Be) Pracice of iabiliy-driven Invemen (DI) ionel Marellini Profeor of inance DHC Buine School Scienific Direcor DHC Rik and Ae Managemen
More informationAbsolute Return Balanced Select UMA Sheets Smith Investment Management, LLC
Absolu urn Balancd Shs Smih Invsmn Managmn, LLC 120 Club Oaks Cour, Sui 200 Winson-Salm, Norh Carolina 27104 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Muli Ass Tacical Ass Allocaion $107.5 million $68.1
More informationTax Advantaged Liquidity Blended - Select UMA Chilton Investment Services, LLC
Tax Advanagd Liquidiy Blndd - Chilon Invsmn Srvics, LLC 300 Park Avnu Nw York, Nw York Syl: Shor Trm Municipals Sub-Syl: Firm AUM: $4.3 billion Firm Sragy AUM: $710.5 million Yar Foundd: GIMA Saus: Firm
More informationSmall/Mid Cap Value Select UMA Thompson, Siegel & Walmsley LLC
Sragy Saus: Closd Sragy closd o nw accouns and opn o addiional asss Small/Mid Cap Valu Thompson, Sigl & Walmsly LLC 6641 Ws Broad Sr, Sui 600 ichmond, Virginia 23230 Syl: Sub-Syl: Firm AUM: Firm Sragy
More informationGenetic Algorithms in Multi-Stage Portfolio Optimization System
Geneic Algorihm in Muli-Sage Porfolio Opimizaion Syem Abrac Man-Chung CHAN 1, Chi-Cheong WONG 1, Bernard K-S Cheung 2, Gordon Y-N Tang 3 1 Deparmen of Compuing, The Hong Kong Polyechnic Univeriy, Hong
More informationSponsoring Content: Motivation and Pitfalls for Content Service Providers
Sponsoring Conn: Moivaion and Pifalls for Conn Srvic Providrs Liang Zhang Dan Wang Dparmn of Compuing Th Hong Kong Polychnic Univrsiy Th Hong Kong Polychnic Univrsiy Shnzhn Rsarch Insiu Email: {cslizhang
More informationUS Large Cap Growth. $5.3 billion^ $119.0 million
naissan Invsmn Managmn 50 Eas ivrcnr Blvd., Sui 1200 Covingon, Knucky 41011 PODUCT OVEVIEW Th naissan Larg Cap Growh Sragy sks o invs in growh-orind socks slling a rasonabl valuaions. A disciplind pross
More informationLegg Mason Balanced Income w/muni Select UMA Legg Mason
Lgg Mason Balancd Incom w/muni Lgg Mason 100 Inrnaional Driv Balimor, Maryland 21202 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Muli Ass Bal laiv Val Tax Favord $637.1 million^ Yar Foundd: GIMA Saus: Firm
More informationRelationship of Five Plate Numbers in Chromatography
Availabl onlin a www.scincdirc.com Procdia Environmnal Scincs 8 (11 687 69 ICESB 11: 5-6 Novmbr 11, Maldivs Rlaionship of Fiv Pla Numbrs in Chromaograph ZHANG Dali a, KE Jiajun b, LU Lizhu b a Biochmical
More informationRed Granite Large Cap Growth Equity Select UMA Ziegler Capital Management
d Grani Larg Cap Growh Equiy Ziglr Capial Managmn 70 W. Madison S., Sui 2400 Chicago, Illinois 60602 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Growh Tradiional Growh $11.9 billion $1.2 billion
More informationParametric Tax Managed RU 3000 Fiduciary Services Parametric Portfolio Associates
Paramric Tax Managd U 3000 Paramric Porfolio Associas 1918 8h Avnu, Sui 3100 Sal, Washingon 98101 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Blnd $159.3 billion $6.1 billion Yar Foundd: GIMA Saus:
More informationThe Theory and (Best) Practices of Liability-Driven Investment (LDI)
DHC Iniuional Day Pari November nd 006 4:00-5:30 he heory and (Be) Pracice of iabiliy-driven Invemen (DI) ionel Marellini DHC Rik and Ae Managemen Reearch Cenre lionel.marellini@edhec.edu.edhec-rik.com
More informationA Liability Tracking Portfolio for Pension Fund Management
Proceedings of he 46h ISCIE Inernaional Symposium on Sochasic Sysems Theory and Is Applicaions Kyoo, Nov. 1-2, 214 A Liabiliy Tracking Porfolio for Pension Fund Managemen Masashi Ieda, Takashi Yamashia
More informationSMID Dividend Income WO MLPS Select UMA Edge Asset Management
Edg Ass Managmn 601 Union Sr, Sui 2200 Sal, Washingon 98101 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Small Cap Valu Tradiional Valu $412.7 billion $2.6 billion Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More informationBANK SIZE AND INTEREST-RATE SENSITIVITY OF BANK STOCK RETURNS
BANK SIZE AND INTEREST-RATE SENSITIVITY OF BANK STOCK RETURNS Jianzhou Zhu Univeriy of Wiconin Whiewaer Morheda Haan Wiley College Wanli Li Xian Jiaoong Univeriy ABSTRACT Thi udy re-examine he exra-marke
More informationLifecycle Funds. T. Rowe Price Target Retirement Fund. Lifecycle Asset Allocation
Lifecycle Funds Towards a Dynamic Asse Allocaion Framework for Targe Reiremen Funds: Geing Rid of he Dogma in Lifecycle Invesing Anup K. Basu Queensland Universiy of Technology The findings of he Mercer
More informationOn the decomposition of life expectancy and limits to life
On th dcomposition of lif xpctancy and limits to lif Ls Mayhw and David Smith Faculty of Actuarial Scinc Cass Businss School Longvity 10 Sptmbr 2014 Santiago Chil Som ky dmographic issus What do trnds
More informationClearBridge All Cap Value Select UMA ClearBridge Investments, LLC.
ClarBridg Invsmns, LLC. 100 Inrnaional Driv Balimor, Maryland 21202 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Valu laiv Valu $147.9 billion^ $5.1 billion^^ Yar Foundd: GIMA Saus: Firm Ownrship:
More informationBalanced Managed Accounts Select UMA TCW Investment Management Company
Balancd Managd Accouns TCW Invsmn Managmn Company 865 Souh Figuroa Sr Los Angls, California 90017 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Muli Ass Balancd Tradiional Growh $198.2 billion $248.0 million
More informationFracture Mechanics, Damage and Fatigue Safe-Life Design
Univriy of Lièg Aroac & Mchanical Enginring Fracur Mchanic, Damag and Faigu Saf-Lif Dign Ludovic Nol Comuaional & Mulical Mchanic of Marial CM3 h://www.la-cm3.ulg.ac.b/ Chmin d Chvruil 1, B4 Lièg L.Nol@ulg.ac.b
More informationUS Mid Cap Growth. $63.6 billion $3.9 billion
Vicory Capial Managmn 127 Public Squar Clvland, Ohio 44114 PODUCT OVEVIEW Vicory Capial Managmn Inc.'s (Vicory) mid cap growh quiy sragy sks o ouprform h ussll Mid Cap Growh Indx wihou incrasd risk and
More informationOn the decomposition of life expectancy and limits to life
On th dcomposition of lif xpctancy and limits to lif Ls Mayhw and David Smith Faculty of Actuarial Scinc Cass Businss School ARC Confrnc 2014 Santa Barbara Som ky dmographic issus What do trnds in lif
More informationStrategy Status: Closed Strategy closed to new accounts and open to additional assets. US Large Cap Value. $491.1 billion $68.
MFS Invsmn Managmn 111 Huningon Avnu Boson, Massachuss 02177 PODUCT OVEVIEW A is mos broad, h am s invsmn univrs can bs b dscribd as h ussll 1000 companis and hir global, mulinaional prs. Invsing in companis
More informationRelative Value Mid Cap Select UMA TCW Investment Management Company
laiv Valu Mid Cap TCW Invsmn Managmn Company 865 Souh Figuroa Sr Los Angls, California 90017 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Mid Cap Valu laiv Valu $198.2 billion $183.0 million Yar Foundd:
More informationLow Duration Gov Only Select UMA Delaware Investments
Low Duraion Gov Only Dlawar Invsmns On Commrc Squar, 2005 Mark Sr Philadlphia, Pnnsylvania 19103 Syl: Shor Trm Fixd Incom Sub-Syl: Shor Trm Govrnmn Firm AUM: $247.3 billion Firm Sragy AUM: $162.6 million
More informationManaged Munis Short Maturity (MA) Select UMA Eaton Vance
Managd Munis Shor Mauriy (MA) Eaon Vanc 2 Inrnaional Plac Boson, Massachuss 02110 Syl: Shor Trm Municipals Sub-Syl: Shor Trm Municipals Firm AUM: $194.1 billion Firm Sragy AUM: $298.1 million Yar Foundd:
More informationMid Cap Value - MA Select UMA J.P. Morgan Asset Management
Mid Cap Valu - MA J.P. Morgan Ass Managmn 270 Park Avnu Nw York, Nw York 10017 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Mid Cap Valu laiv Valu $1,716.7 billion $24.2 billion Yar Foundd: GIMA Saus: Firm
More informationLyrical U.S. Value Equity - CS Select UMA Lyrical Asset Management LP
Lyrical U.S. Valu Equiy - CS Lyrical Ass Managmn LP 250 Ws 55h Sr, Floor 37 Nw York, Nw York 10019 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Valu Discoun Valu $8.7 billion $3.5 billion Yar Foundd:
More informationWestern Asset GSM 3 Year Portfolio Select UMA Western Asset Management
Wsrn Ass GSM 3 Yar Porfolio Wsrn Ass Managmn 100 Inrnaional Driv Balimor, Maryland 21202 Syl: Shor Trm Fixd Incom Sub-Syl: Shor Trm Govrnmn Firm AUM: $431.1 billion Firm Sragy AUM: $49.2 million^ Yar Foundd:
More informationUS Value Equity Select UMA Brandes Investment Partners, L.P.
US Valu Equiy Brands Invsmn Parnrs, L.P. 11988 El Camino al - Sui 600 San Digo, California 92130 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Valu Discoun Valu $27.8 billion $476.0 million Yar Foundd:
More informationMid Cap Equity Select UMA Madison Investment Advisors, LLC
Mid Cap Equiy Madison Invsmn Advisors, LLC 550 Scinc Driv Madison, Wisconsin 53711 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Mid Cap Growh-orind $17.0 billion $1.8 billion Yar Foundd: GIMA Saus: Firm
More information1 What is Game Theory? Game Theory 1. Introduction. Rational Agents. Rational Agents in Game Theory
Theory. Inroducion Alber-Ludwig-Univeriä Freiburg Bernhard Nebel and Rober Mamüller Summer emeer 208 SS 208 B. Nebel, R. Mamüller Theory 3 / 23 Raional Agen Raional Agen in Theory Conider raionally acing
More informationMorningstar Investor Return
Morningsar Invesor Reurn Morningsar Mehodology Paper March 3, 2009 2009 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion by
More informationAsset and Liability Management, Caisse. a manager of public debt
Asse and Liabiliy Managemen by CADES, a manager of public deb Name Deparmen & affiliaion Mailing Address e-mail address(es) Phone number 331 55 78 58 19, 331 55 78 58 00 Fax number 331 55 78 58 02 Eric
More informationGlobal Balanced Select UMA WestEnd Advisors
Global Balancd WsEnd Advisors 4064 Colony oad, Sui 130 Charlo, Norh Carolina 28211 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: Global Muli Ass Global Tacical Ass Alloc $4.1 billion $1.4 billion Yar Foundd:
More informationFundamental Growth Select UMA Amundi Pioneer Asset Management
Fundamnal Growh Amundi Pionr Ass Managmn 60 Sa Sr Boson, Massachuss 02109 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Growh Consrvaiv Growh $67.2 billion^ $7.5 billion^^ Yar Foundd: GIMA Saus:
More informationSmall Cap Growth Select UMA Congress Asset Management Company
Small Cap Growh Congrss Ass Managmn Company 2 Sapor Lan, 5h Floor Boson, Massachuss 02210 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Small Cap Growh Consrvaiv Growh $10.9 billion^ $163.5 million Yar Foundd:
More informationParametric Tax Managed KLD400 Select UMA Parametric Portfolio Associates
Paramric Porfolio Associas 1918 8h Avnu, Sui 3100 Sal, Washingon 98101 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Blnd $998.0 billion^ $299.9 million Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More informationAppendix B. Public Life Public Space - Cycling Findings
Appndix B. Public Lif Public Spac - Cycling Findings No: Th cycling findings ar incorporad ino Chapr 2.3 Mulimodal Opraions: Bicycl. Th full rpor on cycling, as prpard by Ghl Archics, is providd hrin.
More informationCore Equity Select UMA Affinity Investment Advisors, LLC
Cor Equiy Affiniy Invsmn Advisors, LLC 4041 MacArhur Blvd, Sui 150 Nwpor Bach, California 92660 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Blnd $1.0 billion $209.0 million Yar Foundd: GIMA Saus:
More informationLarge Cap Disciplined Growth Select UMA Neuberger Berman LLC
Nubrgr Brman LLC 605 Third Avnu Nw York, Nw York 10158 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Growh Tradiional Growh $237.4 billion $747.0 million Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More information1-10 Year Municipal Ladder Select UMA Nuveen Asset Management
1-10 Yar Municipal Laddr Nuvn Ass Managmn 333 Ws Wackr Driv Chicago, Illinois 60606 Syl: US Tax Fr Cor Sub-Syl: Inrmdia Trm Munis FI Firm AUM: $171.7 billion Firm Sragy AUM: $969.0 million Yar Foundd:
More informationStrategy Status: Closed Strategy closed to new accounts and open to additional assets. US Small Cap Growth. $4.0 billion $233.
Franklin Sparaly Managd Accouns On Franklin Parkway San Mao, California 94403-1906 PODUCT OVEVIEW Franklin Sparaly Managd Accouns' (FSMA), a division of Franklin Tmplon Invsmns, Small Cap Growh Equiy invsmn
More informationQUANTITATIVE FINANCE RESEARCH CENTRE. Optimal Time Series Momentum QUANTITATIVE FINANCE RESEARCH CENTRE QUANTITATIVE F INANCE RESEARCH CENTRE
QUANTITATIVE FINANCE RESEARCH CENTRE QUANTITATIVE F INANCE RESEARCH CENTRE QUANTITATIVE FINANCE RESEARCH CENTRE Research Paper 353 January 15 Opimal Time Series Momenum Xue-Zhong He, Kai Li and Youwei
More informationGIS Strategic 10 Dividend Select UMA Global Investment Solutions - Strategic Portfolios
Global Invsmn Soluions - Sragic Porfolios 2000 Wschsr Av. Purchas, Nw York 10577 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Valu $137.0 million Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More informationSmall/Mid Cap Core Select UMA EARNEST Partners, LLC
Small/Mid Cap Cor EANEST Parnrs, LLC 1180 Pachr S. - Sui 2300 Alana, Gorgia 30309 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Mid Cap Blnd $22.1 billion $199.0 million Yar Foundd: GIMA Saus: Firm Ownrship:
More informationStrategy Status: Closed Strategy closed to new accounts and open to additional assets. US Large Cap Value. $484.0 billion $81.
MFS Invsmn Managmn 111 Huningon Avnu Boson, Massachuss 02177 PODUCT OVEVIEW A is mos broad, h am s invsmn univrs can bs b dscribd as h ussll 1000 companis and hir global, mulinaional prs. Invsing in companis
More informationBehavioral Small-Cap Equity Select UMA Fuller & Thaler Asset Management, Inc.
Fullr & Ass Managmn, Inc. 411 Borl Av, Sui 300 San Mao, California 94402 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Small Cap Blnd $7.3 billion $936.0 million Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More informationSmall Mid Cap Core Select UMA The London Company
Th London Company 1800 Baybrry Cour, Sui 301 ichmond, Virginia 23226 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Mid Cap Valu-orind $8.2 billion $591.8 million Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More informationLarge Cap Value Select UMA Confluence Investment Management
Larg Cap Valu Slc UMA Conflunc Invsmn Managmn 20 Alln Avnu Sui 300 Sain Louis, Missouri 63119 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Valu laiv Valu $7.1 billion^ $1.5 billion Yar Foundd: GIMA
More informationClearBridge Mid Cap Core Select UMA ClearBridge Investments, LLC.
ClarBridg Invsmns, LLC. 100 Inrnaional Driv Balimor, Maryland 21202 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Mid Cap Blnd $147.9 billion^ $3.3 billion^^ Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More informationA Probabilistic Approach to Worst Case Scenarios
A Probabilisic Approach o Wors Case Scenarios A Probabilisic Approach o Wors Case Scenarios By Giovanni Barone-Adesi Universiy of Albera, Canada and Ciy Universiy Business School, London Frederick Bourgoin
More informationThe Great Recession in the U.K. Labour Market: A Transatlantic View
The Grea Recession in he U.K. Labour Marke: A Transalanic View Michael W. L. Elsby (Edinburgh, Michigan, NBER) Jennifer C. Smih (Warwick) Bank of England, 25 March 2011 U.K. and U.S. unemploymen U.K. unemploymen
More informationANALYSIS OF RELIABILITY, MAINTENANCE AND RISK BASED INSPECTION OF PRESSURE SAFETY VALVES
ANALYSIS OF RELIABILITY, MAINTENANCE AND RISK BASED INSPECTION OF PRESSURE SAFETY VALVES Venilon Forunao Francisco Machado Mechanical Engineering Dep, Insiuo Superior Técnico, Av. Rovisco Pais, 049-00,
More informationLarge Cap Value Select UMA HGK Asset Management Inc.
HGK Ass Managmn Inc. 525 Washingon Blvd., Sui 2601/Nwpor Towr Jrsy Ciy, Nw Jrsy 07310 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Tradiional Valu $2.6 billion^ $516.5 million Yar Foundd: GIMA Saus: Firm
More informationDYNAMIC portfolio optimization is one of the important
, July 2-4, 2014, London, U.K. A Simulaion-based Porfolio Opimizaion Approach wih Leas Squares Learning Chenming Bao, Geoffrey Lee, and Zili Zhu Absrac This paper inroduces a simulaion-based numerical
More informationClearBridge Multi Cap Growth Equity Select UMA ClearBridge Investments, LLC.
ClarBridg Muli Cap Growh Equiy ClarBridg Invsmns, LLC. 100 Inrnaional Driv Balimor, Maryland 21202 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Growh Aggrssiv Growh $147.9 billion $18.4 billion^
More informationPaul M. Sommers David U. Cha And Daniel P. Glatt. March 2010 MIDDLEBURY COLLEGE ECONOMICS DISCUSSION PAPER NO
AN EMPIRICAL TEST OF BILL JAMES S PYTHAGOREAN FORMULA by Paul M. Sommers David U. Cha And Daniel P. Gla March 2010 MIDDLEBURY COLLEGE ECONOMICS DISCUSSION PAPER NO. 10-06 DEPARTMENT OF ECONOMICS MIDDLEBURY
More informationOdd/Even Mode Analysis
4/4/007 Odd Evn Md Analyi 1/9 Odd/Evn Md Analyi Q: Althugh ymmtric circuit appar t b plntiful in micrwav nginring, it m unlikly that w wuld ftn ncuntr ymmtric urc. D virtual hrt and pn typically vr ccur?
More informationUsing Rates of Change to Create a Graphical Model. LEARN ABOUT the Math. Create a speed versus time graph for Steve s walk to work.
2.4 Using Raes of Change o Creae a Graphical Model YOU WILL NEED graphing calculaor or graphing sofware GOAL Represen verbal descripions of raes of change using graphs. LEARN ABOUT he Mah Today Seve walked
More informationOFFENSIVE PHILOSOPHY
OFFNSIV PHILOSOPHY 1. BALAN H ABILIY O RUN AND HRO H BALL QUALLY 2. ULIPL FORAIONS, PRSONNL GROUPS, SHIFING AND OION. 3. ALLOING H QB O PU YOU IN H RIGH PLAY. 4. O PRPAR FOR VRY SIUAION HA AY ARIS RAINING
More informationUS Value Equity Select UMA Brandes Investment Partners, L.P.
Brands Invsmn Parnrs, L.P. 11988 El Camino al - Sui 600 San Digo, California 92130 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Valu Discoun Valu $27.9 billion $463.0 million Yar Foundd: GIMA Saus:
More informationGlobal Balanced Value Select UMA Brandes Investment Partners, L.P.
Brands Invsmn Parnrs, L.P. 11988 El Camino al - Sui 600 San Digo, California 92130 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: Global Muli Ass Balancd Valu-Orind $24.1 billion $134.3 million Yar Foundd: GIMA
More informationUS Small Cap. $10.1 billion
Goldn Capial Managmn, LLC 10715 David Taylor Driv - Sui 150 Charlo, Norh Carolina 28262 PODUCT OVEVIEW Th ovrall objciv of h SMID Cap Cor ("SMID") sragy is o consruc an acivly managd, risk conrolld, cor
More informationWhat the Puck? an exploration of Two-Dimensional collisions
Wha he Puck? an exploraion of Two-Dimensional collisions 1) Have you ever played 8-Ball pool and los he game because you scrached while aemping o sink he 8-Ball in a corner pocke? Skech he sho below: Each
More informationAP Physics 1 Per. Unit 2 Homework. s av
Name: Dae: AP Physics Per. Uni Homework. A car is driven km wes in hour and hen 7 km eas in hour. Eas is he posiive direcion. a) Wha is he average velociy and average speed of he car in km/hr? x km 3.3km/
More informationMDT All Cap Core Select UMA Federated Investors, Inc.
Fdrad, Inc. Fdrad Towr, 1001 Libry Avnu Pisburgh, Pnnsylvania 15222 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Valu-orind $459.9 billion $1.1 billion Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More informationSudden Stops, Sectoral Reallocations, and Real Exchange Rates
Sudden Sops, Secoral Reallocaions, and Real Exchange Raes Timohy J. Kehoe Universiy of Minnesoa Federal Reserve Bank of Minneapolis and Kim J. Ruhl NYU Sern School of Business Wha Happens During a Sudden
More informationMid Cap Value Select UMA EARNEST Partners, LLC
EANEST Parnrs, LLC 1180 Pachr S. - Sui 2300 Alana, Gorgia 30309 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US laiv Valu $20.0 billion $70.0 million Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More informationUniplan REIT Portfolio Select UMA Uniplan Investment Counsel, Inc.
Uniplan Invsmn Counsl, Inc. 22939 W Ovrson d Union Grov, Wisconsin 53182 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: al Esa/EITs al Esa/EITs Domsic $1.1 billion $1.1 billion Yar Foundd: GIMA Saus: Firm Ownrship:
More informationDividend Strategy ESG Select UMA ClearBridge Investments, LLC
ClarBridg Invsmns, LLC 620 8h Avnu Nw York, Nw York 07042 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Blnd $66.1 billion^ $138.4 million^^ Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More informationDrill Bit to Burner Tip (No K-1s) Select UMA Miller/Howard Investments Inc.
Drill Bi o Burnr Tip (No K-1s) Millr/How Invsmns Inc. 10 Dixon Avnu, PO Box 549 Woodsock, Nw York 12498 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Equiis Ohr Blnd $4.9 billion $101.9 million Yar Foundd:
More informationEquity Income SMA Select UMA J.P. Morgan Asset Management
J.P. Morgan Ass Managmn 270 Park Avnu Nw York, Nw York 10017 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Valu Tradiional Valu $1,716.7 billion^ $2.5 billion Yar Foundd: GIMA Saus: Firm Ownrship:
More informationJames Sefton and Sylvain Champonnois London Quant Conference September 2012
Dynamic Porfolio Opimisaion wih Trading Coss James Sefon and Sylvain Champonnois London Quan Conference Sepember 2012 Tracabiliy and Transparency Imporan Quans have needed o upgrade heir approach To rebalance
More informationThe APT with Lagged, Value-at-Risk and Asset Allocations by Using Econometric Approach
Proceedings of he 16 Inernaional Conference on Indusrial Engineering and Operaions Managemen Deroi, USA, Sepember 3-5, 16 he AP wih Lagged, Value-a-Risk and Asse Allocaions by Using Economeric Approach
More informationMid Cap Equity Select UMA Penn Capital Management Co., Inc.
Pnn Capial Managmn Co., Inc. 1200 Inrpid Avnu, Sui 400 Phliadlphia, Pnnsylvania 19112 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Mid Cap Valu-orind $2.9 billion $61.2 million Yar Foundd: GIMA Saus: Firm
More informationConstructing Absolute Return Funds with ETFs: A Dynamic Risk-Budgeting Approach. July 2008
Consrucing Absolue Reurn Funds wih ETFs: A Dynamic Risk-Budgeing Approach July 2008 Noël Amenc Direcor, EDHEC Risk & Asse Managemen Research Cenre Professor of Finance, EDHEC Business School noel.amenc@edhec-risk.com
More informationSan Francisco State University ECON 560 Fall Midterm Exam 2. Tuesday, October hour, 15 minutes
San Francisco Sae Universiy Micael Bar ECON 560 Fall 207 Miderm Exam 2 Tuesday, Ocober 3 our, 5 minues Name: Insrucions. Tis is closed book, closed noes exam. 2. No calculaors or elecronic devices of any
More informationLarge Cap Growth ESG Balanced 60/40 Taxable Select UMA Legg Mason
Lgg Mason 100 Inrnaional Driv Balimor, Maryland 21202 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Muli Ass Balancd Tradiional Growh $1.7 million^ Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff:
More informationAsset Allocation with Higher Order Moments and Factor Models
Asse Allocaion wih Higher Order Momens and Facor Models Kris Boud (VU Brussel, Amserdam) Based on join research wih: Wanbo Lu (SWUFE) and Benedic Peeers (Finvex Group) 1 The world of asse reurns is non-normal.
More informationTwo kinds of Online Retailers Price Competition on B2C Market
Two kin of Onlin Railr Pri Coiion on BC Mark Hao Fu, Jiyao Ding, Lili Liu Hao Fu, Hrbr A.Sion & Rinhar Sln Bhavioral Diion Rarh Lab, Shool of Eonoi an Managn, Souhw Jiaoong Univriy, ChngDu 600, China 86-8-87600895;
More informationLarge Cap Growth ESG Select UMA ClearBridge Investments, LLC.
Larg Cap Growh ESG ClarBridg Invsmns, LLC. 100 Inrnaional Driv Balimor, Maryland 21202 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Growh Tradiional Growh $147.9 billion $1.3 billion^ Yar Foundd:
More informationCS 410/584, Algorithm Design & Analysis, Lecture Notes 5
CS 4/584,, Ford-Fulkeron Mehod Flow maximizaion in a nework (graph) wih capaciie Baic idea: Find a pah from ource o arge ha ill ha flow capaciy (augmening pah) Add he maximum flow allowed along hi pah
More informationMachine Learning for Stock Selection
Machine Learning for Sock Selecion Rober J. Yan Compuer Science Dep., The Uniersiy of Wesern Onario jyan@csd.uwo.ca Charles X. Ling Compuer Science Dep., The Uniersiy of Wesern Onario cling@csd.uwo.ca
More informationPerformance Attribution for Equity Portfolios
PERFORMACE ATTRIBUTIO FOR EQUITY PORTFOLIOS Performance Aribuion for Equiy Porfolios Yang Lu and David Kane Inroducion Many porfolio managers measure performance wih reference o a benchmark. The difference
More informationTECH DATA PNEUMATIC STRAPPING TOOL WITH FRICTION WELD SEAL (PET / PP) FLAT AND ROUND SURFACES
POL 13, 16, 19 M PNUMAC RAPPNG OOL WH FRCON WLD AL (P / PP) FLA AND ROUND URFAC CHNCAL DAA / APPLCAON : Compact, easy to use and versatile strapping tool for use in medium / heavy duty industrial applications.
More informationTime & Distance SAKSHI If an object travels the same distance (D) with two different speeds S 1 taking different times t 1
www.sakshieducaion.com Time & isance The raio beween disance () ravelled by an objec and he ime () aken by ha o ravel he disance is called he speed (S) of he objec. S = = S = Generally if he disance ()
More informationEvaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method
Advances in mahemaical finance & applicaions, 2 (1), (2017), 1-7 Published by IA Universiy of Arak, Iran Homepage: www.amfa.iauarak.ac.ir Evaluaing he Performance of Forecasing Models for Porfolio Allocaion
More informationEvaluating Portfolio Policies: A Duality Approach
OPERATIONS RESEARCH Vol. 54, No. 3, May June 26, pp. 45 418 issn 3-364X eissn 1526-5463 6 543 45 informs doi 1.1287/opre.16.279 26 INFORMS Evaluaing Porfolio Policies: A Dualiy Approach Marin B. Haugh
More informationEconomics 487. Homework #4 Solution Key Portfolio Calculations and the Markowitz Algorithm
Economics 87 Homework # Soluion Key Porfolio Calculaions and he Markowiz Algorihm A. Excel Exercises: (10 poins) 1. Download he Excel file hw.xls from he class websie. This file conains monhly closing
More information8/31/11. the distance it travelled. The slope of the tangent to a curve in the position vs time graph for a particles motion gives:
Physics 101 Tuesday Class 2 Chaper 2 Secions 2.1-2.4 Displacemen and disance Velociy and speed acceleraion Reading Quiz The slope of he angen o a curve in he posiion vs ime graph for a paricles moion gives:
More informationInstruction Manual. Rugged PCB type. 1 Terminal Block. 2 Function. 3 Series Operation and Parallel Operation. 4 Assembling and Installation Method
Rugged PCB ype Insrucion Manual 1 Terminal Block Funcion.1...4.5.6.7 Inpu volage range Inrush curren limiing Overcurren proecion Overvolage proecion Oupu volage adjusmen range Isolaion Remoe ON/OFF E9
More informationHomework 2. is unbiased if. Y is consistent if. c. in real life you typically get to sample many times.
Econ526 Mulile Choice. Homework 2 Choose he one ha bes comlees he saemen or answers he quesion. (1) An esimaor ˆ µ of he oulaion value µ is unbiased if a. ˆ µ = µ. b. has he smalles variance of all esimaors.
More informationShort Duration Fixed Income Select UMA Cincinnati Asset Management
Cincinnai Ass Managmn 8845 Govrnor's Hill Driv Cincinnai, Ohio 45249 Syl: High Yild Fixd Incom Sub-Syl: Shor Trm High Yild FI Firm AUM: $2.6 billion Firm Sragy AUM: $42.4 million Yar Foundd: GIMA Saus:
More informationCore Equity Select UMA Kovitz Investment Group Partners, LLC
Cor Equiy Koviz Invsmn Group Parnrs, LLC 115 Souh LaSall Sr, 27h Floor Chicago, Illinois 60603 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Blnd $2.4 billion^ $2.0 billion Yar Foundd: GIMA Saus:
More informationThe design of courier transportation networks with a nonlinear zero-one programming model
The design of courier ransporaion newors wih a nonlinear zero-one programming model Boliang Lin School of Traffic and Transporaion, Being Jiaoong Universiy, Being 100044, People s Republic of China (A
More information