4 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…
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…