2015 Conference

October 15–16, 2015

Orlando, FL

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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