Working Papers & Work in Progress

The following papers represent research projects either recently completed or currently in progress. Clicking on any linked title will allow you to review an abstract and download a PDF version of the selected paper.

1. “Investment Style Volatility and Mutual Fund Performance” (with W. V. Harlow and H. Zhang), July 2011

2. “Sustainable Asset Allocation in Retirement: Stochastic Optimization in a Downside Risk Framework” (with W. V. Harlow), November 2011

3. “The Interaction of Spending Policies, Asset Allocation Strategies and Investment Performance at University Endowment Funds” (with C. Tiu), In Progress

4. “Downside Risk and the Cross-Section of Asset Prices” (with W. V. Harlow and H. Zhang), In Progress

5. “Taming Volatility, Longevity and Depletion Risks: The Role of Absolute Return Funds in a Lifetime Income Portfolio” (with W. V. Harlow), In Progress

6.  “Demographic Changes and Economic Growth” (with W. V. Harlow), In Progress

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