Incorporating Multiple Stochastic Goals and Agency (especially the importance of skillful agents) to establish consistent and effective Asset Pricing, Asset Allocation and Risk-Adjusted Performance Measures
Paper 1. 2000. Risk-Adjusted Performance with Liabilities and Agents (the M-cube and Skill Measures and not the Sharpe Ratio or M-squared). Financial Analysts Journal 2000. https://www.tandfonline.com/doi/abs/10.2469/faj.v56.n5.2391
Paper 2. 2001. Optimal Risk-Adjusted Portfolios with Multiple Managers (as most investors hire multiple managers, not 1). Journal of Portfolio Management 2001. https://www.pm-research.com/content/iijpormgmt/27/3/97
Paper 3. 2012. LDI – Does it Make CAPM a CRAPM. Op-Ed in CIO Magazine. https://www.ai-cio.com/news/ldi-does-it-make-the-capm-a-crapm/
Paper 4. 2013. The Relative Asset Pricing Model – Incorporating Liabilities and Delegation to Chief Investment Officers: Version 0.1. Journal of Investment Consulting. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2708858
Paper 5. 2014. The Relative Asset Pricing Model: Implications for Asset Allocation, Rebalancing, and Asset Pricing. Journal of Financial Perspectives. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2399845
Paper 6. 2014. The Relative Asset Pricing Model – Towards a Unifying Theory of Asset Pricing. Journal of Investment Consulting. https://www.researchgate.net/profile/Arun-Muralidhar/publication/264788321_The_Relative_Asset_Pricing_Model_Toward_a_Unified_Theory_of_Asset_Pricing_IMCA_R_investment_management_consultants_association_R_Investment_Consulting/links/53f0b0650cf2711e0c430f35/The-Relative-Asset-Pricing-Model-Toward-a-Unified-Theory-of-Asset-Pricing-IMCA-R-investment-management-consultants-association-R-Investment-Consulting.pdf
Paper 7. 2014. Modern Prospect Theory. The Missing Link between Modern Portfolio Theory and Prospect Theory. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2492603
Paper 8. 2015. New Bond would Offer a Better Way to DC Plans. Pensions and Investments, Op-Ed https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2703890
Paper 9. 2016. The Most Basic Missing Instrument in Financial Markets: The Case for Bonds for Financial Security. Journal of Investment Consulting. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2880002
Paper 10. 2016. GBI = Gimme Better (Financial) Instruments: An Innovation to Greatly Simplify Complex Investment Approaches. Investments and Wealth Monitor. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2758927
Paper 11. 2016. (with Prof. R. C. Merton). Time for Retirement SeLFIES. Investments and Pensions Europe. https://www.ipe.com/ipe-at-20-time-for-retirement-selfies/10018263.article
Paper 12. 2017. A Very Simple Goals- and Risk-Based Asset Pricing Model (or Asset Pricing with Heterogeneous Investors). Journal of Investment Management. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3051726
Paper 13. 2018. Can (Financial) Ignorance Be Bliss? Financial Analysts Journal. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3051726
Paper 14. 2019. Managing Longevity Risk – The Case for Longevity-Indexed Variable Expiration (LIVE) Bonds. Retirement Management Journal. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3522653
Paper 15. 2019. The F-Utility of Wealth. It’s All Relative. Journal of Investment Management. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3329917
Paper 16. 2021. Asset Pricing, Asset Allocation and Risk-Adjusted Performance with Multiple Goals and Agency: The Goals and Risk-based Asset Pricing Model. Journal of Investment Management. https://joim.com/wp-content/uploads/emember/downloads/p0666.pdf
Paper 17. 2023. Goals and Risk-Based Asset Pricing for Investors with Multiple Goals and Agents. Journal of Investment Management. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4422455
Paper 18. 2024. Is Finance Theory Partially Responsible for the Retirement Crisis? Markets Group Op-Ed. https://www.marketsgroup.org/news/Op-ed-finance-theory-Arun-Muralidhar
Paper 19. 2024. Goals-based Arrow-Debreu Securities. https://papers.ssrn.com/abstract=4579066
Paper 20. 2024. Is Finance Theory Partially Responsible for the Retirement Crisis? Markets Group. https://www.marketsgroup.org/news/Op-ed-finance-theory-Arun-Muralidhar