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Defined Contribution Retirement Plans Should Look and Feel More Like Defined Benefit Plans
Laurence Siegel / Rodney N. Sullivan
pensionsResource overview

Defined Contribution Retirement Plans Should Look and Feel More Like Defined Benefit Plans

Paper2017

by Laurence Siegel, Rodney N. Sullivan

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pensions

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Suggested foundations for portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

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  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

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