* is an "editor's choice" selection
Also, note that I am (almost) always looking for something good to read so let me know if you have good ideas or good material.
My Reading List -- updated 10/2/2018
|
Abbas
& Matheson
|
|
Normative
Target-based Decision Making
|
2005
|
J
Wiley
|
|
|
Agarawl,
Monty
|
|
The
Future of Hedge Fund Investing
|
2009
|
J
Wiley
|
[book]
|
|
Albrecht,
Peter & Maurer, Raimond
|
*
|
Self
Annuitizatio, Ruin Risk in Retirement and Asset Allocation: The Annuity
Benchmark
|
2001
|
Working
Paper - actuaries.org
|
|
|
Aldrich,
J
|
|
R.A.
Fisher and the making of maximum likelihood 1912-1922
|
1997
|
Statistical
schience
|
Vol
12 # 3
|
|
Ameriks,
J et al.
|
|
Annuity
Valuation, Long-term care, and Bequest Motives
|
2007
|
Pension
Research Counsil Working paper
|
|
|
Babbel
& Merrill
|
*
|
Rational
Decumulation
|
2006
|
Wharton
Financial Institutions Center
|
|
|
Bader,
Lawrence
|
|
Pension
Deficits: an uncessary evil
|
2004
|
CFA
Institute
|
|
|
Bajtelsmit,
Rappaport, Foster
|
|
Measures
of Retirement Benefit Adequacy: Which, Why, for whom, and how much?
|
2013
|
SOA -
pension section
|
|
|
Bartholomew,
Gold, Pitts, Pollack
|
|
Financial
Principles applied to public pension plans
|
2016
|
working
paper
|
|
|
Bar-Yam,
Norman & Taleb
|
|
Precaution
and GMOs: an Algorithmic Complexity Approach
|
-
|
New
England Complex Systems Institute
|
|
|
Baz
& Guo
|
|
An
asset allocation primer: Connecting Markowitz, Kelly and Risk Parity
|
2017
|
Pimco
|
|
|
Bell,
Steve
|
|
Quantitative
finance for dummies
|
2016
|
J
wiley
|
[book]
|
|
Berkin
& Swedroe
|
|
Your
Complete Guide to Factor-Based Investing
|
2016
|
BAM
Alliance
|
[book]
|
|
Bernstein,
W J & Wilkinson, D
|
*
|
Diversification,
Rebalancing, and the Geometric Mean Frontier
|
1997
|
|
|
|
Biggs,
Barton
|
|
Hedge
Hogging
|
2006
|
J
Wiley
|
[book]
|
|
Bishop
& Green
|
|
Philanthro
Capitalism
|
2008
|
Bloomsbury
|
[book]
|
|
Blanchett,
D
|
|
Three
Essays in Retirement Investing (PhD dissertation)
|
2016
|
Texas
Tech
|
|
|
Blanchett,
D
|
|
Annuitized
income and optimal asset allocation
|
2018
|
ARC
conference submission
|
|
|
Bodie,
Merton
|
|
Finance
|
2000
|
Prentice
Hall
|
[book]
|
|
Bodie,
Z
|
|
On
the risk of stocks in the long run
|
1995
|
Financial
Analysts Journal
|
|
|
Brown,
Aaron
|
|
Red-blooded
Risk
|
2002
|
J
wiley
|
[book]
|
|
Brown,
Aaron
|
|
Optial
Betting Strategy with uncertain Limits
|
2016
|
|
|
|
Brown,
Poterba, Mitchell
|
|
Mortality
Risk, Inflation Risk, and annuity products
|
2000
|
NBER
|
|
|
Brown,
S & Milevsky
|
|
Asset
allocation and the liquidity premium for illiquid annuities
|
2003
|
|
|
|
Browne,
Sid
|
|
The
Risks and Rewards of Minimizing Shortfall probability
|
1999
|
Institutional
Investor
|
|
|
Browning
& Crossley
|
|
The
Life-cycle Model of Consumption and Saving
|
2001
|
Journal
of Economic Perspectives
|
Vol
15 #3
|
|
Burton,
Katherine
|
|
Hedge
Hunters
|
2007
|
Bloomberg
Press
|
[book]
|
|
Carroll,
C
|
|
Portfolios
of the Rich
|
2000
|
NBER
|
|
|
Cassidy,
Peskin, Seigel L
|
|
Be
kind to your retirement decumulation--give it a benchmark
|
2012
|
Risk
and Rewards
|
|
|
Charupat,
Kamstra, Milevsky
|
|
The
annuity duration puzzle
|
2012
|
|
|
|
Chen
& Milevsky
|
|
Merging
asset allocation and longevity insurance: An optimal perspective on payout
annutities
|
2003
|
|
|
|
Clare,
Andrew et al
|
*
|
Reducing
Sequence Risk Using Trend Following and the CAPE ratio
|
2017
|
CFA
Institute
|
|
|
Clare,
Andrew et al
|
*
|
Can
sustainable withdrawal rates be enhanced by trend following?
|
2017
|
Cass
Business school
|
|
|
Collins
& Gadenne
|
*
|
Are
You a Curve a Triangle or a Rectangle
|
2017
|
Investment
Management Consultants Assoc
|
|
|
Collins
& Stampfli
|
*
|
Promises
and Pitfalls of Total Return Trusts
|
2001
|
American
College of Trust and Estate Counsel
|
Vol
27 #3
|
|
Collins,
JL
|
|
The
Simple Path to Wealth
|
2016
|
|
[book]
|
|
Collins,
Lam, Stampfli
|
*
|
Longevity
Risk and Retirement Income Planning
|
2015
|
CFA
Institute
|
|
|
Collins,
Lam, Stampfli
|
*
|
Mointoring
And Managing a Retirement Income Portfolio Part 1 and 2
|
|
RIIA
|
|
|
Collins,
Lam, Stampfli
|
*
|
How
Risky is your Retirement Income Model
|
2015
|
Financial
Services Review
|
|
|
Cotton,
Dirk
|
|
Sequence
of returns risk: A new way of looking at spending or saving scenarios with
path dependence
|
2015
|
Retirement
Management Journal
|
Vol 5
#1
|
|
Covel
M
|
|
The
Complete Turtle Trader
|
2007
|
Harper
Collins
|
[book]
|
|
Crawley
|
|
Statistics,
an introduction using R
|
2015
|
J
wiley
|
[book]
|
|
Daily,
G & Kotlikoff, L
|
|
Decision
Making under Uncertainty: A (second) wakeup call for the financial planning
profession
|
2006
|
|
|
|
Davidoff
& Brown
|
*
|
Annuities
and Individual Welfare
|
2003
|
Pension
Institute Discussion Paper
|
May
|
|
Diaconis,
Persi & Skyrms, Brian
|
*
|
Ten
Great Ideas about Chance
|
2018
|
Princeton
U press
|
[book]
|
|
Drobny,
S
|
|
Inside
the House of Money, Top Hedge Fund Traders on Global Markets
|
2006
|
J
Wiley
|
[book]
|
|
Dus,
Maurer, Mitchell
|
|
Betting
on death and capital markets in retirement: A shortfall risk analysis of life
annuities versis phased withdrawal plans
|
2004
|
|
|
|
Dybvig
|
|
Using
Asset allocation to protect spending
|
1998
|
|
|
|
Elton
et al
|
|
Modern
Portfolio Theory and Investment Analysis
|
2014
|
J
wiley
|
[book]
|
|
Estrada,
Javier & Kritzman, Mark
|
|
Evaluating
Retirement Strategies: A utility Based Approach
|
2018
|
|
|
|
Evensky
& Katz
|
*
|
Retirement
Income Redesigned
|
2006
|
Bloomberg
Press
|
[book]
|
|
Falkenstein,
E
|
|
The
Missing Risk Premium
|
2012
|
|
[book]
|
|
Ferguson,
R
|
|
Arithmetic
and continuous Return Mean-Variance Efficient Frontiers
|
2007
|
|
|
|
Frank,
Larry & Brayman, Shawn
|
|
Certainty
of Lifestyle: Contrasting A Simulation over a Fixed Period vs Multiple Period
Models
|
2016
|
|
|
|
Frank,
Larry & Brayman, Shawn
|
|
Combining
stochastic simulations and actuarial withdrawals into one model
|
-
|
FPA
journal
|
|
|
Frank,
Mitchell, Blanchett
|
*
|
An
Age-Based, Three Dimensional, Universal Distribution Model Incorporating
Sequence Risk
|
2011
|
ssrn
|
|
|
Frank,
Mitchell, Blanchett
|
|
Transition
to old age (superannuation) in 3-D, age based. Dynamic, serially connected
and annually recalculated retirement distribution model
|
2012
|
ssrn
|
|
|
Friedman
& Zeckhauser
|
|
Handling
and mishandling estimative probability: likelihood, confidence, and the
search for Bin Laden
|
2014
|
Intelligence
and National Security
|
|
|
Fullmer,
R
|
*
|
Modern
Portfolio Decumulation: A new strategy…
|
2007
|
FPA
journal
|
Aug
|
|
Giroris
et al.
|
|
Applying
Goal-Based Investing Principles to the Retirement Problem
|
2018
|
EDHEC
Risk Institute
|
|
|
Goldstein
& Taleb
|
|
We
don’t quite know what we are talking about when we talk about volatility
|
2007
|
Journal
of portfolio management
|
|
|
Graham
B
|
|
The
Intelligent Investor
|
1973
|
Harper
Collins
|
[book]
|
|
Gray
& Vogel
|
|
Quantitative
Momentum, A practioners Guide
|
2016
|
J
Wiley
|
[book]
|
|
Gray
& Vogel
|
|
DIY
Financial Advisor
|
2015
|
J
Wiley
|
[book]
|
|
Grossman
et al.
|
*
|
The
intuition behind option valuation
|
2002
|
|
|
|
Guan
& Webb
|
|
Evaluating
the advanced life deferred annuity
|
2007
|
Center
for Retirement Research at Boston College
|
|
|
Habib,
Huang, Milevsky
|
*
|
Approximate
Solutions to Retirement Spending Problems and the Optimality of Ruin
|
2017
|
|
|
|
Harlow
& Brown, K.
|
|
Market
risk, mortality risk, and sustainable retirement asset allocation: a downside
risk perspective
|
2014
|
|
|
|
Hartzmark
& Soloman
|
|
The
dividend disconnect
|
2006
|
UC,
USC
|
|
|
Hoffstein,
C
|
*
|
Growth
Optimal Portfolios
|
2017
|
Newfound
Research
|
|
|
Holzner,
S
|
|
Differential
Equations for Dummies
|
2008
|
|
[book]
|
|
Horneff,
Maurer, Stamos
|
|
Life-cycle
asset allocation with annuity products: is longevity insurance a good deal?
|
2005
|
|
|
|
Huang,
Milevsky, Young
|
|
Optimal
purchasing of deferred income annuities when payout yields are mean reverting
|
2015
|
|
|
|
Idzorek,
T & Blanchett D
|
|
LDI
Misapplied, Income Portfolios and Liability-Driven Investing
|
2017
|
Morningstar
|
|
|
Irlam,
G
|
*
|
Porfolio
size matters
|
2014
|
The
Journal of Personal Finance.
|
13(2),
9-16
|
|
Irlam,
G
|
|
Lifetime
Portfolio Selection
|
2018
|
|
|
|
Irlam,
G
|
|
Human
Capital, Social Security, and Asset Allocation
|
2017
|
aacalc
|
|
|
Irlam,
G
|
|
Financial
planning via deep reinforcement learning AI
|
2018
|
|
|
|
Irlam,
G
|
|
Floor
and upside investing in retirement with real instruments
|
-
|
aacalc
|
|
|
Kirkpatrick,
Darrow
|
|
Can I
retire Yet?
|
2016
|
StructureByDesign
|
[book]
|
|
Kitces
|
*
|
Is
the Retirement Plan with the lowest "risk of failure" really the
best choice?
|
2012
|
Kitces.com
|
|
|
Kleinman,
George
|
|
Trading
Commodities and Financial Futures
|
2005
|
Pearson
Ed
|
[book]
|
|
Lachance,
Marie Eve
|
|
Optimal
Onset and Exhaustion of Retirement Savings in a life-cycle model
|
2012
|
Cambridge
Univ Press
|
|
|
Lefevre,
E
|
*
|
Reminiscences
of a Stock Operator
|
1993
|
J
Wiley
|
[book]
|
|
Leung,
Siu Fai
|
|
Notes
and Comments - Uncertain Lifetime, the theory of the consumer, and the
lifecycle Hypothesis
|
1994
|
(jstor)
|
|
|
Leung,
Siu Fai
|
|
The
existence, uniqueness, and optimality of the terminal wealth depletion time
in life cycle models of saving under uncertain lifetime and borrowing
constraint
|
2006
|
Journal
of Economic theory
|
|
|
Leung,
Siu Fai
|
|
The
dynamic effects of social security on individual consumption, wealth and
welfare
|
2002
|
Hong
Kong University of science and technology
|
|
|
Lewis,
M
|
|
The
Big Short
|
2011
|
WW
Norton
|
[book]
|
|
Lewis,
M
|
|
Flash
Boys
|
2014
|
WW
Norton
|
[book]
|
|
Lindsey
& Schachter
|
|
How I
became a quant
|
2007
|
J
Wiley
|
[book]
|
|
Lo,
Orr, and Zhang
|
|
The
growth of relative wealth and the Kelly critierion
|
2017
|
|
|
|
Low,
Andrew
|
|
Adaptive
Markets, Financial evolution at the speed of thought
|
2017
|
Princeton
U press
|
[book]
|
|
MacDonald
et al.
|
|
Research
and Reality - A literature review on drawing down retirement financial
savings
|
2013
|
Society
of Actuaries
|
|
|
Malkiel
|
|
A
Random Walk down Wall street
|
2012
|
Norton
|
[book]
|
|
Markowitz,
H
|
*
|
Risk-Return
Analysis, The theory and practice of rational investing [Vol 2]
|
2016
|
McGraw
Hill
|
[book]
|
|
Markowitz,
H with Kenneth Blay
|
*
|
Risk-Return
Analysis, The theory and practice of rational investing [Vol 1]
|
2014
|
McGraw
Hill
|
[book]
|
|
Markowitz,
Scheid & Statman
|
|
Portfolio
optimization with mental accounts
|
2010
|
Journal
of financial and quantitative analysis
|
Vol
45 #2
|
|
Maurer,
Raimond
|
|
Lifecyle
portfolio choice with systematic longevity risk and variable
investment-linked deferred annuities
|
2013
|
The
Journal of Risk and Insurance
|
|
|
McCormick,
D
|
|
Family
Inc. Using Business Priciples To Maximize Your Family'S Wealth
|
2016
|
J
Wiley
|
[book]
|
|
McGoun,
Elton G
|
*
|
The
History of Risk Measurement
|
1995
|
|
|
|
Merton,
R C
|
|
Continuous-Time
Finance
|
|
|
|
|
Merton,
R C
|
|
The
Crisis in Retirement Planning
|
2014
|
HBR
|
Jul-Aug
|
|
Meucci,
A
|
|
Risk
and Asset Allocation
|
|
|
|
|
Meucci,
A
|
*
|
Linear
Vs. Compound Returns, Common pitfalls in portfolio management
|
2010
|
ssrn
|
|
|
Michaud,
Richard
|
*
|
A
practical Framework for Portfolio Choice
|
2003
|
Journal
of Investment Management
|
|
|
Michaud,
Richard and Robert
|
|
Efficient
Asset Management, A practical guide to stock portfolio optimization
|
2008
|
Oxford
u press
|
[book]
|
|
Milevsky
& Huang
|
|
The
Utility Value of Longevity Risk Pooling: analytic insights
|
2018
|
|
|
|
Milevsky
& Huang
|
|
The
Utility Value of Longevity Risk Pooling: Technical Appendix
|
2018
|
|
|
|
Milevsky
& Wang
|
*
|
Ruined
Moments in Your Life: How Good are the Approximations?
|
2003
|
York
University
|
|
|
Milevsky
& Young
|
|
Optimal
Asset allocation and the real option to delay annuitization
|
2002
|
|
|
|
Milevsky
and Salisbury
|
|
Optimal
Retirement Income Tontines
|
2015
|
Insurance:
mathematics and economics
|
|
|
Milevsky,
M
|
|
Optimal
Asset Allocation Towards the End of the Life Cycle: to Annuitize or Not to
Annuitize
|
1998
|
York
University
|
|
|
Milevsky,
Moshe
|
*
|
the 7
Most Important Questions for your Retirement
|
2012
|
J
Wiley canada
|
[book]
|
|
Milevsky,
Moshe
|
|
Pensionize
Your Nest Egg
|
2015
|
J
Wiley
|
[book]
|
|
Milevsky,
Salisbury, Gonzalez, Jankowski
|
Annuities
versus tontines in the 21st century
|
2018
|
Society
of Actuaries
|
|
|
|
Mindlin,
D
|
|
The
pitfalls of sequence risk
|
2016
|
CDI
Advisors
|
|
|
Mindlin,
D
|
|
The
Misconceptions of Retirement Risks
|
-
|
Society
of Actuaries
|
|
|
Mindlin,
D
|
|
Commitment
Driven Investing and Time Diversification
|
-
|
CDI
Advisors
|
|
|
Mindlin,
D
|
*
|
On
the relationship between Arithmetic and Geometric returns
|
2011
|
CDI
Advisors
|
|
|
Mindlin,
D
|
|
On
exercises in futility, A glide path designer's view
|
2016
|
CDI
Advisors
|
|
|
Mindlin,
D
|
|
The
"financial economics" debate
|
2010
|
CDI
Advisors
|
|
|
Mindlin,
D
|
|
Commitment
Driven Investing : an introduction
|
2009
|
CDI
Advisors
|
|
|
Mindlin,
D
|
|
Principles
of Glide Path Design
|
2013
|
CDI
Advisors
|
|
|
Mindlin,
D
|
|
Present
Values, Investment returns, and discount rates
|
2014
|
Society
of Actuaries
|
|
|
Mindlin,
D
|
|
The
case for stochastic present values
|
2009
|
CDI
Advisors
|
|
|
n/a
|
|
Words
from the wise - Ed Thorp
|
-
|
AQR
|
|
|
n/a
|
|
What's
wrong with multiplying by the square root of 12
|
2013
|
Morningstar
|
|
|
Nekrasov,
Vasily
|
|
Kelly
Criterion for multivariate portfolios: a model-free approach
|
2014
|
|
|
|
Pearl,
J
|
|
The
Book of Why, The new science of cause and effect
|
2018
|
Hachette
|
[book]
|
|
Pedersen,
Lasse
|
|
Efficiently
Inefficient
|
2015
|
Princeton
U press
|
[book]
|
|
Pedersen,
N
|
|
Rethinking
Retirement Risk
|
2014
|
Pimco
|
|
|
Peters,
Ole & Adamou, A
|
*
|
Ergodicity
Economics - Lecture Notes
|
2017
|
London
Mathematical Laboratory
|
|
|
Peters,
Ole & Gell-Mann
|
|
Evaluating
Gambles using Dynamics
|
2016
|
|
|
|
Picerno,
James
|
|
Quantitativ
Investment Portfolio Analytics in R
|
2018
|
Beta
Publishing
|
[book]
|
|
Portnoy,
Brian
|
|
The
Geometry of Wealth, How to shape a life of money and meaning
|
2018
|
Hariman
house
|
[book]
|
|
Poundstone,
William
|
*
|
Fortune's
Formula
|
2005
|
Hill
and Wang
|
[book]
|
|
Pye,
Gordon
|
*
|
Retrenchment
Rule - Optimal Wealth Drawdowns
|
-
|
-
|
|
|
Quinn,
J B
|
|
How
To Make Your Money Last, the indispensable retirement guide
|
2016
|
Simon
& Shuster
|
[book]
|
|
Robinson
& Tahani
|
*
|
Sustainable
Retirement Income for the Socialite, the Gardener and the Uninsured
|
2007
|
York
University
|
|
|
Ross,
Stephen
|
|
Uses,
abuses, and alternatives to the net-present-value rule
|
1995
|
Financial
Management
|
Vol
24 #3
|
|
Ryan,
Mark
|
|
Calculus
for dummies
|
2003
|
J
wiley
|
[book]
|
|
Salisbury,
Gregory
|
|
But
what if I live, The American Retirement Crisis
|
2006
|
|
[book]
|
|
Savage,
Sam
|
*
|
The
Flaw of Averages, Why we underestimate risk in the face of uncertainty
|
2012
|
J
Wiley
|
[book]
|
|
Scherer,
Bernd
|
|
Portfolio
Resampling: Review and Critique
|
2002
|
Deutsche
Asset Management
|
|
|
Schwager,
Jack
|
|
Stock
Market Wizards
|
2003
|
Harper
Collins
|
[book]
|
|
Scott,
Sharpe (Wm) & Watson
|
|
The
4% rule -- at what price?
|
2008
|
|
|
|
Seigel,
J
|
|
Stocks
for the long run
|
2008
|
McGraw
Hill
|
[book]
|
|
Sexauer
Peskin & Cassidy
|
*
|
Making
Retirement Income last a lifetime
|
2015
|
Financial
Analysts Journal
|
Jan/Feb
|
|
Sexauer,
Stephen & Seigel, Laurence
|
*
|
A
pension promise to oneself
|
2013
|
CFA
Institute
|
|
|
Simsek
et al.
|
|
Optimal
longevity risk management in the retirement stage of the lifecycle
|
2017
|
Pension
& longevity risk transfer for institutional investors
|
|
|
Slovic,
Paul
|
|
Perception
of Risk
|
1987
|
Science
|
|
|
Soros,
G
|
|
The
new Paradigm for Financial Markets
|
2008
|
Perseus
|
[book]
|
|
Suarez
Suarez & Waltz
|
*
|
The
Perfect Withdrawal Amount, A Methodology…
|
2015
|
Trinity
University
|
|
|
Swedroe
L
|
|
The
Only Guide to Alternative Investments You'll ever Need
|
2008
|
Bloomberg
Press
|
[book]
|
|
Swensen,
David
|
*
|
Pioneering
Portfolio Management
|
2000
|
Simon
& Shuster
|
[book]
|
|
Taleb,
N
|
*
|
Why
we don't know what we talk about when we talk about probability
|
2012
|
Distinguished
Lecture Series, Humbold Univ Berlin
|
|
|
Taleb,
N
|
|
Probability,
Risk and Extremes.
|
2017
|
|
|
|
Taleb,
N N
|
|
The
Black Swan
|
2010
|
Random
House
|
[book]
|
|
Talib,
Nassim
|
*
|
Anti
Fragile, Things that gain from disorder.
|
2014
|
Random
House
|
[book]
|
|
TBD
|
|
A
Review of Options Pricing theory - Chapter 7
|
tbd
|
|
|
|
Thaler,
R
|
|
Misbehaving
|
2015
|
WW
Norton
|
[book]
|
|
Tharp
V
|
|
Trade
your way to financial freedom
|
2007
|
McGraw
Hill
|
[book]
|
|
Tharp
V
|
|
Super
Traders
|
2009
|
McGraw
Hill
|
[book]
|
|
Thomsett,
M
|
|
Put
Option Strategies
|
2010
|
Pearson
Ed
|
[book]
|
|
Thorp,
Edward
|
*
|
A Man
for All Seasons
|
2017
|
Random
House
|
[book]
|
|
Turner,
Godinez-Olivares, McCarthy & Penas
|
Determining
discount rates required to fund defined benefit plans
|
2015
|
|
|
|
|
Vanduffel
et al.
|
|
The
Hurdle-race problem
|
2002
|
|
|
|
Vertes,
Druce
|
|
Save
withdrawal rates, optimal retirement portfolios, and certainty equivalent
spending
|
2013
|
ssrn
|
|
|
Vollrath,
D
|
*
|
Graduate
Macroeconomics I
|
2007
|
University
of Houston
|
|
|
Wang
& Spinney
|
|
Strategic
asset allocation: combining science and judgement to balance short-term and
long-term goals
|
2017
|
Journal
of portfolio management
|
|
|
Wang
et al.
|
|
Evaluating
Spending Policies in a low-return environment
|
2018
|
CFA
Institute
|
|
|
Warshawsky,
M
|
|
Reforming
retirement Income
|
2015
|
Mercatus
center
|
|
|
Warshawsky,
Mark
|
*
|
Retirement
Income
|
2012
|
MIT
|
[book]
|
|
Weisberg,
Herbert
|
*
|
Willful
Ignorance, The mismeasure of uncertainty
|
2014
|
J
Wiley
|
[book]
|
|
Yaari,
M
|
*
|
Uncertain
Lifetime. Life Insurance, and the Theory of the Consumer
|
1965
|
(jstor)
|
|
|
Zwecher,
Michael
|
*
|
Retirement
Portfolios - Theory, construction, and management
|
2010
|
J
Wiley
|
[book]
|
No comments:
Post a Comment