New Developments in LT Asset Management - Merton in London

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bobcat2
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New Developments in LT Asset Management - Merton in London

Post by bobcat2 » Sun Oct 01, 2017 9:49 pm

New Developments in Long-Term Asset Management - Robert Merton

-Set goals
-Maximize probability of hitting your goal
-Use all risk management techniques - hedge, insure, & diversify
-You don't know what's risky, if you don't have a well defined goal
-Discussion of risk-free asset & surrogate risk-free asset
-Calculating reserve for surrogate risk-free asset tracking error
-Importance of funded ratio
-Maximize Sharpe ratio of risky assets
-Selfie bonds & financial melody

Link to presentation - https://www.nber.org/2017LTAM/2017ltam.html

You need to concentrate and think fast, because Robert M thinks very fast. :happy
Remember, Merton on a bad morning forgets more about finance than you will ever know. :wink: So just try to pick up the melody, don't try to understand all the lyrics. :D

BobK
In finance risk is defined as uncertainty that is consequential (nontrivial). | The two main methods of dealing with financial risk are the matching of assets to goals & diversifying.

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