whitepaper logo
James Montier
Martin Tarlie
2022
Share

Investing for Retirement II: Modeling Your Assets

Standard financial industry practice builds retirement portfolios using mean-variance optimization and validates them using Monte Carlo simulations that assume asset returns are a random walk. The unsurprising result of a process stuck over 50 years in the past is portfolios that burden future retirees with an unnecessarily high risk of financial ruin. We believe an approach to retirement investing that better models and understands the ways in which financial markets differ from the outdated academic assumptions of market efficiency and random walks will result in substantially superior portfolios.

Providing your email address to nebo-gmo.com gives you access to additional content. By clicking through, you allow us to process your provided data and potentially contact you at a future date. For more information on user rights and how we process personal data, please see our Privacy Notice.
Whitepaper unlocked. Thank you for your interest!
Error. Something went wrong while submitting the form.
James Montier
Martin Tarlie
2022
Share

Investing for Retirement II: Modeling Your Assets

Standard financial industry practice builds retirement portfolios using mean-variance optimization and validates them using Monte Carlo simulations that assume asset returns are a random walk. The unsurprising result of a process stuck over 50 years in the past is portfolios that burden future retirees with an unnecessarily high risk of financial ruin. We believe an approach to retirement investing that better models and understands the ways in which financial markets differ from the outdated academic assumptions of market efficiency and random walks will result in substantially superior portfolios.

Other Whitepapers you may be interested in

graph
Behavioral
James Montier
2022

Your Own Worst Enemy (Preface) - Darwin's Mind: The Origin of Biases

The investor’s chief problem – and even his worst enemy – is likely to be himself.” These sage words – written by the father of value investing Ben Graham - are as true today as they were in 1949. In this paper we examine how evolution has shaped different behavioral biases and how we can turn them to our advantage.

Download Now
graph
Behavioral
James Montier
2022

Your Own Worst Enemy II - Present Bias

People have a strong tendency to favor the present over the future – we are poor emotional time travelers. This has obvious investment implications, especially when saving and investing for retirement. In this paper, we explain this “present bias” and why Nebo is particularly well-suited to helping advisors address it with their clients.

Download Now
lamp
Behavioral
James Montier
2022

Your Own Worst Enemy I - Framing and Nudges

We know from a behavioral perspective that the framing of questions can radically alter the answers given and that it is incredibly hard to remove people’ biases. In this paper, we explore how framing, nudges and re-biasing can influence answers to questions, and how at the philosophical heart of Nebo is a focus on the importance of asking the right questions.

Download Now
whitepaper logo
Investing
Ben Inker
Martin Tarlie
2014

Investing for Retirement I: The Defined Contribution Challenge

The retirement landscape has changed. The risk of failure with the traditional glide paths and savings/spending assumptions seems to us to be disturbingly high.

Download Now
whitepaper logo
Technical
Peter Chiappinelli
Ram Thirukkonda
2015

Who Ate Joe’s Retirement

Retirement plan participants are haunted by an invisible risk called sequence risk (sometimes called sequence-of-returns or path dependency risk), that is, getting the “right” returns but in the “wrong” order.

Download Now
whitepaper logo
Technical
Martin Tarlie
2016

Investment Horizon and Portfolio Selection

Foundational research: we introduce a method of portfolio selection based on the idea that investment risk is not having enough wealth when you need it. Not having enough wealth translates into a required return. When you need wealth translates into an investment horizon.

Download Now
whitepaper logo
Technical
Edmund Bellord
Joshua Livnat
Dan Porter
Martin Tarlie
2017

Optimal Holdings of Active, Passive, and Smart Beta Strategies

Foundational research: We study the basic problem of allocating amongst a set of equity strategies given a policy benchmark from an expected shortfall perspective. We find that portfolios that minimize expected shortfall differ substantially from portfolios generated using conventional methods.

Download Now
whitepaper logo
Technical
Martin Tarlie
2020

A Case Study in Multiperiod Portfolio Optimization: A Classic Problem Revisited

Foundational research: Most people in finance and economics mistakenly believe the only way to solve a multi-period optimization problem is to use dynamic programming. Dynamic programming is not wrong, but it is unnecessarily complicated for the use case – what portfolio should I own today?

Download Now
whitepaper logo
Investing
Ben Inker
James Montier
Martin Tarlie
2022

Investing for Retirement III: Understanding and Dealing with Sequence Risk

Sequence of return risk is entirely ignored in much of academic finance. But it is a meaningful risk for the vast majority of investment portfolios and there are useful tools that can mitigate its effects.

Download Now

Stay Current with Our Latest Insights

Join hundreds of other leading advisors. You’ll be the first to know Nebo product updates along with valuable insights on behavioral finance and goals-based investing.

Thank you! Your submission has been received!
Oops! Something went wrong while submitting the form.