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The Inflation Trader
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The Inflation Trader has been a recognized leader in developing the U.S. inflation derivatives market. He traded the first interbank U.S. CPI swaps in 2003 and, as a dealer, was a primary liquidity-provider in that market for two large banks. He represented about one-third of interbank swaps... More
My company:
Enduring Investments LLC
My blog:
E-piphany
My book:
Maestro, My Ass!
  • 2500 followers! Thanks!
    Boy, those last 10 followers sure seemed to take a while, but I've made it to 2500. I, and the other people who care about our work at Enduring Investments, thank you!

    Next stop, 3k!
    Jan 21 9:58 AM | Link | 10 Comments
  • Liability-Driven Investing for Individuals

    I will have another comment out over this long weekend, and it may well mention the S&P ratings downgrades of most of Europe, which just hit the tape. However, I just learned that the Society of Actuaries finally published a paper of mine in their "Retirement Mongraph," available here, and I figured I would mention it to followers of this blog.

    Here's my abstract:

    To date, the financial literature has focused on very simple algorithms designed to improve the solution to the two-part challenge of determining the optimal portfolio asset-allocation strategy and determining the maximum sustainable withdrawal rate for retirees. Most research, for example the well-known “Trinity Study” of Cooley, Hubbard, and Walz, pursues the asset-allocation problem by maximizing long-run asset growth subject to a withdrawal rule and a given acceptable probability of remorse (a.k.a. shortfall). However, the Liability-Driven Investing (LDI) thought process improves the approach by seeking instead to maximize return for a given level of volatility of the portfolio surplus, rather than optimizing on the basis of the volatility of the assets themselves; by more closely matching assets and liabilities, the sensitivity of the strategy to unexpected returns, risks, and correlations is greatly decreased. I updated the Trinity Study to incorporate inflation-indexed bonds and then illustrate how the LDI thought process may be applied to individual investors.

    Please let me know if you have any questions or comments!

    Jan 13 5:25 PM | Link | Comment!
  • How To Exceed Expectations (Or At Least Keep Up)
    My latest post was not picked up by Seeking Alpha today. I write about INFL, which is a way to trade inflation expectations. The blog is at wp.me/pIy5M-yv if you want to read it.
    Jan 12 8:41 AM | Link | 5 Comments
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