Welcome to the AFS Conference 2015 Schedule App. Please use the search features to see when your session or poster has been scheduled to take place.
Building optimal risky and utility maximizing TIAA/CREF portfolios
Thursday, October 15, 2015 at 10:35 AM–12:05 PM EDT
2-Gallery
Keywords: 5 words maximum
Mutual fund portfolio construction, Variable annuity portfolio construction, Risk tolerance, Risk and return, Utility maximizing portfolios
Very short description for use in the program to help attendees understand more than a title can describe
We present a process to build optimal risky and utility maximizing TIAA/CREF variable annuity and mutual fund portfolios through the use of Excel Solver. Annuities and mutual funds present a special challenge to Markowitz optimization because they cannot be sold short.
Lead & Corresponding Author
Dr. Larry J. Prather, Ph.D., Southeastern Oklahoma State University
Job Title
John Massey Endowed Chair & Professor of Finance
Additional Authors
Dr. Han-Sheng Chen, Ph.D., Southeastern Oklahoma State University
Job Title
Assistant Professor of Finance
Ying-Chou Lin, Ph.D., Southeastern Oklahoma State University
Job Title
Assistant Professor of Finance