Bogleheads

The US government, primarily thru the Treasury, is deeply involved in the financial well being of Americans in retirement and Americans planning for retirement. This is also true of all other advanced ...

From the Wall Street Journal. In the wake of the financial meltdown, there have been calls for the U.S. Treasury Dept. to step up its issuance of inflation-protected securities, or TIPS. Many financia ...

I choose to believe in the power of the risk-reward relationship...
I don't need to understand the exact nature of the risk to accept it. Your faith in your belief is truly inspiring to this simple ...

OK Andy, I'll bite. In your opinion what specific extra financial risk was I being compensated for when I overweighted US small value stocks over the last 10 years? It seems to me many people claim I ...

In my experience it is extremely rare for anyone advocating the 3 factor model approach to equity investing to end up claiming that on a risk adjusted basis there is no advantage to 3 factor equity in ...

The total stock market fund is the average return for the US stock market. Unlike the children of Lake Woebegone, all US stock market investors cannot do better than this average return. Overweighting ...

peter71 wrote. I don't really know but the below chart does seem to show that real interest rates change a lot.It's true. Real interest rates move around. But except for exposure to reinvestment risk ...

If you want to hold a truly safe investment you hold individual TIPS bonds (not bond funds) to maturity preferable in your tax advantaged accounts. Except for reinvestment risk, this is an extremely l ...

Here is a link to the 2001 paper by Murtaugh, Spillman, and Warshawsky that first proposed the life care annuity.The central hypothesis of this analysis is that pooling the two opposing risks—long l ...

How Do Pension Changes Affect Retirement Preparedness? The Trend to Defined Contribution Plans and the Vulnerability of the Retirement Age Population to the Stock Market Decline of 2008-2009 by Alan L ...

Several DC Diehards have requested a summary of Mark Warshawsky’s talk on the life care annuity. Here’s my takeaway.

As late as the late 1990’s no one had apparently ever considered such a p ...

The Demographics of Innovation and Asset Returns by Nicolae Garleanu, Leonid Kogan, Stavros Panageas
We study asset-pricing implications of innovation in a general-equilibrium overlapping-generations ...

In reading thru Victoria's notes I came across this pearl of wisdom from Bill Bernstein's presentation. Bill. When I come to these meetings, I meet all these people who read all books written by me, R ...

All the people in their sample are retirees. Roughly speaking the researchers took the pre-retirement earnings of the people in the sample and used a lifecycle model to determine the optimal living st ...

superlight wrote.I expect that this paper is discovering more of the unlucky ... This paper wasn't doing that. This paper used a lifecycle model to analyze the best data set in the world of household ...

bobbyrx writes.Of course, it is not pre-retirement income but pre-retirement spending...that should be the starting point. That of course is where Scholz and Seshadri started by applying their life cy ...

What Replace Rates Should Households Use?, working paper by John Karl Scholz and Ananth Seshadri, University of Michigan Retirement Research Center. Conclusions

We examine optimal target replacemen ...

dpbsmith wrote.Davidoff, Brown and Diamond (2005) have shown in an elegant proof that the original results of Yaari hold true under a significantly less restrictive set of assumptions.

In particula ...

I have posted directions to the library at a post on the following thread.
http://www.bogleheads.org/forum/viewtopic.php?t=831&mrr=1256960722

Bob K

The next meeting of the DC Diehards will be Sunday, November 1. The topic will be life care annuities.

Presentation – In Sickness and in Health: The Life Care Annuity Idea

Speaker – Dr. ...

The modern economic study of annuities begins with Yaari in 1965, Uncertain Lifetime, Uncertain Insurance, and the Theory of the Consumer. Yaari showed that if the consumer has no bequest motive and w ...

Yes, but in the LR stock prices are constrained by economic growth, unless corporate earnings are to become an ever increasing share of national income at the expense of labor earnings. That I believe ...

"Economic Growth and Equity Investing", by Bradford Cornell - forthcoming in Financial Analysts Journal.
Abstract
The performance of equity investments in the aggregate is inextricably lin ...

Hi everybody,

The next DC Diehards meeting will be this coming Sunday, November 1, at 3 PM in the second floor meeting room of the central Arlington library in Ballston.

Dr. Mark Warshawsky, dir ...

Professor Zipf goes to Wall Street - working paper by Yannick Malevergne, Pedro Santa-Clara, and Didier Sornette.
Abstract
The heavy-tailed distribution of firm sizes first discovered by Zipf (194 ...

Here is a brief profile of Larry Kotlikoff in Research Magazine that discusses why he received this year's RIIA Applied Retirement Research award.

Some excerpts.For years, Boston University econom ...

nisiprius wrote:P. S. A little thing, but an irritating one: isn't the usual phrase "this time it's different?"The "this time is different" wording was deliberate.

Usually some ...

Elinor Ostrom is the first woman to win a Nobel Prize in Economics. Congrats Elinor. Dr Ostrom won the award for for her analysis of economic governance, especially the commons. According to Wikipedia ...

Hi Rodc,

The way Kotlikoff is talking about precision and the way you are talking about precision are two different things. Kotlikoff is saying that even if all inputs are forecast perfectly then w ...

Laurence Kotlikoff, an economist who teaches at Boston University, received the Academic Achievement Award for Achievement in Applied Retirement Research at the Retirement Income Industry Association' ...

Thomson Reuters is the only organization to use quantitative data to make annual predictions of Nobel Prize winners.

Predictions for Economics Prize

Ernst Fehr
Professor and Director of the I ...

Constant mix rebalancing is a contrarian asset allocation strategy that says to sell relative winners and buy relative losers. It is certainly not an efficient market strategy of letting it ride or ke ...

Hi bob90245,

Yes, and Taylor's advice is a classic example of the bad advice I am complaining about. Taylor's advice seems to be only concerned about when the stock market does well over a period o ...

Hi Rodc,
You wrote:If you want to argue that rebalancing is over sold as a way to mitigate risk I certainly agree. I certainly do want to argue that. Laughing

I suspect many people who rebalance re ...

The problem as I see it is that rebalancing is often promoted as a risk mitigation technique. But the fact of the matter is that in a LT down market rebalancing to a 'fixed mix' exacerbates rather tha ...

Hi Murray,
One of the more interesting quotes from the Sharpe et al paper you just referenced.Overall, the rebalancing strategy outperformed the buy and hold strategy in roughly 55% of the simulated ...

I agree that if you are holding TIPS bonds to maturity the article is at best puzzling, and at worst somewhat mystical. Confused

If, on the other hand, the intended audience is made up of people holding TI ...

dbr wrote.
I should add that Kitces deals in part with the apparent paradox in the 4% rule.
Yes and we discussed this particular SWR nonsense here at Bogleheads several months before Kitces wrote a ...

If you don't want to change your consumption a lot from year to year in retirement, then don't be counting on equities to supply a large proportion of your retirement income. When the market declines ...

He should reduce his consumption path to be consistent with his new lower level of wealth. Just as his initial consumption path was supposedly consistent with his level of wealth in the first year. (T ...

Making Your Nest Egg Last a Lifetime by Anthony Webb
Boston College Retirement Center policy brief
Introduction
Media attention on retirement security generally focuses on the need to save enough t ...

Time horizon. The more time you have until you’ll need your money, the greater your ability to weather short-term declines in the prices of your holdings. So if your time horizon is at least ten yea ...

Humberto Cruz: The Savings Game

I keep the family financial records current and organized. Still, it took me nearly two hours to find and enter the copious and detailed information requested by the ...

How Much Do Households Really Lose By Claiming Social Security at Age 62? by Wei Sun and Anthony Webb - working paper at Center for Retirement Research at Boston College.

From the abstract-Individ ...

If I understand what you are saying, one of the major differences in our viewpoints is that I want to make portfolio adjustments based on performance explicitly part of the rebalancing process, while ...

Here are some stylized facts about typical investors.Empirical evidence on household behavior

This section describes some of the empirical evidence concerning the behavior of households. Numerous e ...

Hi sscritic,
I don't see anything unreasonable in the following quote. If you do, we disagree.
Most portfolios contain risky assets. Fluctuations
in the values of such assets will generally
cause ...

Hi Rodc,

We simply disagree. But I think if you are going to be consistent, you would also agree that on average it makes no difference whether you buy and hold and never rebalance, or rebalance ev ...

All these portfolio strategies, including conventional rebalancing, are dynamic strategies. The question is which strategy to use. I do not understand at all this reluctance to call conventional rebal ...

Actually Bob I am the third person to use the term in our exchanges.

The first person is Andre Perold, the Harvard business economist who is a member of the Vanguard Board of Directors. (I believe ...