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q-fin.MF2024
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…
q-fin.MF2024
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…