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Half Day Conference, "Quantitative Approaches to Retirement Planning: Time to Retire Old Thinking"
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 Export to Your Calendar 11/16/2017
When: Thursday, November 16, 2017


Online registration is available until: 11/16/2017
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SQA's Annual Fall Conference

 

Quantitative Approaches to Retirement Planning: Time to Retire Old Thinking

 

November 16, 2017

 

8:00 a.m. Registration & Breakfast

 

Barclays
745 7th Ave, New York, NY 10019

 

Member - $495
Student/Transitional Member - $250

 Non-Member - $695
Non-Member Afilliated 
(Contact your Affiliate Organization for your discount code)- $595

 

Early Bird  - Register Before October 20th and receive $100 discount!

 

Quantitative Approaches to Retirement Planning: Time to Retire Old Thinking

There is widespread concern that a global retirement crisis is imminent. Inadequate retirement savings, critically underfunded pension obligations, and the looming insolvency of social safety nets are widely acknowledged as serious problems requiring immediate attention. This conference will feature presentations from leading experts discussing the crucial role of quantitative methods in overcoming the challenges facing modern-day retirement planning.

 

Speakers Include

 

Dan DiBartolomeo, Northfield Information Services – Defined Contribution Retirement within Lifetime Investing Planning 

 

While almost all financial service organizations talk about the concept of a customized investment plan for each client household, essentially none deliver on that promise. A plan is a set of contemplated actions for the future. Instead, financial advisors provide recommendations only for the current asset allocation of the investment portfolio with the only “plan” being to revisit the allocation in a year or two. Among the financial products available to retail investors (in some countries) are target date funds that include the concept of an allocation glide path, but such funds are based solely on expected year of retirement. They are not sensitive to wealth levels, non-retirement financial goals or the potentially complex preferences of high net worth investors. In this presentation, we illustrate a process to create the “maximum likelihood” forward time series of expected asset allocations through the investor’s lifetime (now, next year, 2 years out, 5 years out, etc.) using the life balance sheet concept described in Wilcox (2003), the non-parametric preference functions from Bolster and Warrick (2008), and a process to combine these two disparate concepts from diBartolomeo (2014). The delivery of an actual investment plan reassures investors psychologically as they can see life events (e.g. college expenditure) reflected in the planned changes in asset allocation. In addition, the conditional foreknowledge of “what we are doing next” allows much of portfolio rebalancing to be done through cash flows (savings inward, reinvestment of income, and spending outward) thereby reducing transaction costs (and taxes on non-retirement assets).  Having an actual plan also contributes to reduced uncertainty as to where to liquidate assets within the portfolio to augment investment income in today’s low yield environment.


Rodney Sullivan, AQR – "Defined Contribution Retirement Plans Should Look and Feel More Like Defined Benefit Plans"

Click Here for Paper

 

Rodney N. Sullivan, CFA serves as Vice President at AQR Capital Management, Inc. where he is responsible for the firm’s global outreach programs that update and educate clients and investors about the firm’s research, strategies and ideas. Formerly, Rodney was Head of Publications and editor of the Financial Analysts Journal at CFA Institute. He is the editor of numerous books for investment professionals and has published widely in various scholarly journals, newspapers, and magazines. Rodney is a former member of the Board of Directors at The Institute for Quantitative Research in Finance and a Practitioner Director at Financial Management Association International. He is a CFA Charterholder, and has a B.S. and M.A. in economics from Virginia Commonwealth University.

 

Martin Tarlie, QMA – "Investment Horizon and Portfolio Selection" Click Here for Paper

 

Martin Tarlie, PhD, CFA, is a Managing Director and Senior Researcher for QMA, working with the Global Portfolio Solutions team. His responsibilities include research for quantitative equity and asset allocation strategies. Previously Martin worked at GMO in a variety of research and portfolio management roles. Prior to GMO, Martin worked as a quantitative analyst for Breakwater Trading and as a fundamental equity analyst at Marlin Capital Corp. as the director of research. Martin earned his BS in Physics and Mathematics from the University of Michigan, his MS and PhD in Theoretical Physics form the University of Illinois at Urbana-Champaign, and his MBA from the University of Chicago Graduate School of Business. He was also a Postdoctoral Research Fellow in Theoretical Condensed Matter Physics at the James Franck Institute at the University of Chicago.

 

Deborah J. Lucas, MIT Sloan School of Management - "Hacking Reverse Mortgages"

 

Deborah J. Lucas is the Sloan Professor of Finance at the MIT Sloan School of Management and the Director of the MIT Golub Center for Finance and Policy. Her recent research has focused on how to better measure and account for the costs and risks of government financial obligations.  She also has published extensively in the areas of asset pricing and portfolio choice, dynamic models of corporate finance, and retirement and housing finance policy. Currently she is an associate editor for the American Economic Review-Policy and the Annual Review of Financial Economics; an NBER Research Associate; and serves on advisory boards for the New York Fed, the Urban Institute, and the Census Bureau.   Previous appointments include assistant and associate director at the Congressional Budget Office; professor at Northwestern University’s Kellogg School; chief economist at the Congressional Budget Office; and senior staff economist at the Council of Economic Advisers. She has been a director on several corporate and non-profit boards. She received her BA, MA, and a PhD in economics from the University of Chicago.


 Agenda

8:00 a.m. – Registration & Breakfast

8:30 a.m. – Conference Begins, Introductions, etc.

 

8:45 a.m. – Martin Tarlie, QMA

“Investment Horizon and Portfolio Selection”

 

9:45 a.m. – Deborah Lucas, MIT

“Hacking Reverse Mortgages”

 

10:45 a.m. – Morning Break

 

11:00 a.m. – Rodney Sullivan, AQR

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

 

12:00 p.m. – Lunch and networking

 

12:45 p.m. – Dan DiBartolomeo, Northfield Information Services

“Defined Contribution Retirement within Lifetime Investing Planning“

 

1:45 p.m. – Closing comments/Adjourn

 

 

 

 

              

 

 

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