New Developments in Long-Term Asset Management - Robert Merton
-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.
Remember, Merton on a bad morning forgets more about finance than you will ever know. So just try to pick up the melody, don't try to understand all the lyrics.
Discuss all general (i.e. non-personal) investing questions and issues, investing news, and theory.
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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.