- 2023. #Brazil Tesouro Nacional and B3, selected as runner-up for Pensions & Investments #WorldPensionSummit in the “Pension fund design and reform” award category. https://www.pionline.com/worldpensionsummit/3-initiatives-honored-excellence-and-innovation-retirement-plans
- 2021. Special Distinction Awards, Journal of Investment Management, 2020 Harry M. Markowitz Award. A Six-Component Integrated Approach to Addressing the Retirement Funding Challenge by Robert C. Merton, and Arun Muralidhar. https://joim.com/wp-content/uploads/emember/downloads/2020_pr.pdf
- 2020. SECOND PRIZE: SeLFIES: A-New(-ity) Look for Retirement by Robert Merton, Arun Muralidhar, Paula Hogan. Society of Actuaries, Products, Tools, and Strategies that Address Retirement Risks – Essay Competition. https://www.soa.org/globalassets/assets/files/resources/research-report/2020/products-tools-strategies-retirement-essays.pdf
- 2024. TSG Time with Pat and Doug Episode 13, The Spaulding Group, https://tsgperformance.com/events/tsg-time-with-pat-and-doug/ and video https://register.gotowebinar.com/recording/5959085178917017857
Realitivity in Finance
1. REALITY 1 – Goals are stochastic (e.g., pension liabilities) – and not “Background Risk”, “Habit” or “KUJ” or deterministic as in CAPM
2. REALITY 2- Investors have multiple stochastic goals (retirement, kid’s education, post-retirement health) and not just 1.
3. RELATIVITY 1 – Investors maximize goal-relative risk-adjusted returns – and not “Epstein-Zin” utility functions! or additive utility functions.
4. RELATIVITY 2 – They hire agents/ #assetmanagers to manage portfolios (delegation at many levels – a Board to an investment team; the team to asset managers – passive or active)
5. REALITY/RELATIVITY 3 – They want (hopefully) skillful agents – largely ignored in the literature. So can’t use #Sharpe ratios but must use #Mcube.
6. REALITY 4 – They specify risk through an absolute volatility and a target #trackingerror in their #investment Policy Statements – and not some random/arbitrary “risk aversion” parameter.
REALITY 5 – An effective asset pricing model should also provide consistent #assetallocation and risk-adjusted performance measures to be useful – only #capm does this; 99% of other asset pricing models fail this test (e.g., APT ).
Awards/Podcasts
By
DR. ARUN MURALIDHAR
Realitivity in Finance 