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Department of Applied Finance and Actuarial Studies

Craig Ansley Seminar

Past Seminar from the archive

  • Topic: Dynamic Asset Allocation: A Typical Example Where it Doesn't Really Help


The NZ Superannuation Fund was set up to smooth government contributions over time.  Because it is a very long-dated fund, a high risk (85/15) asset allocation was chosen, but the objectives were never clearly spelt out, nor the criteria for strategy selection.  The NZSF appointed me to build a dynamic asset allocation (DAA) model to provide a framework for addressing these questions, and I will outline my findings in this seminar.  A formal objective was set up, to minimise an Epstein-Zin penalty function.  The results support the intuition of the investment group at NZSF, but there is almost no gain in utility over a constant asset allocation strategy.  Nevertheless, the detail in the model provides a useful prognosis for the fund.


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