2 citations · 4 across the 7 of their papers we have counts for
7 papers
Justifying the Volatility of S&P 500 Daily Returns
Hayden Brown
Over the past 60 years, there has been a gradual increase in the volatility of daily returns for the S&P 500 Index. Hypothetically, suppose that market forces determine daily volat…
Withdrawal Success Optimization in a Pooled Annuity Fund
Hayden Brown
Consider a closed pooled annuity fund investing in n assets with discrete-time rebalancing. At time 0, each annuitant makes an initial contribution to the fund, committing to a pre…
Withdrawal Success Optimization
Hayden Brown
For assets and discrete-time rebalancing, the probability to complete a given schedule of investments and withdrawals is maximized over progressively measurable portfolio weigh…
Long-Term Returns Estimation of Leveraged Indexes and ETFs
Hayden Brown
Daily leveraged exchange traded funds amplify gains and losses of their underlying benchmark indexes on a daily basis. The result of going long in a daily leveraged ETF for more th…
Fundamental Portfolio Outperforms the Market Portfolio
Hayden Brown
There is substantial empirical evidence showing the fundamental portfolio outperforming the market portfolio. Here a theoretical foundation is laid that supports this empirical res…
Withdrawal Success Estimation
Hayden Brown
Given a geometric Levy alpha-stable wealth process, a log-Levy alpha-stable lower bound is constructed for the terminal wealth of a regular investing schedule. Using a transformati…
Dollar Cost Averaging Returns Estimation
Hayden Brown
Given a geometric Brownian motion wealth process, a log-Normal lower bound is constructed for the returns of a regular investing schedule. The distribution parameters of this bound…