The Experts below are selected from a list of 136212 Experts worldwide ranked by ideXlab platform
William T Ziemba - One of the best experts on this subject based on the ideXlab platform.
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the innovest austrian pension fund Financial Planning model innoalm
Operations Research, 2008Co-Authors: Alois Geyer, William T ZiembaAbstract:This paper describes the Financial Planning model InnoALM we developed at Innovest for the Austrian pension fund of the electronics firm Siemens. The model uses a multiperiod stochastic linear programming framework with a flexible number of time periods of varying length. Uncertainty is modeled using multiperiod discrete probability scenarios for random return and other model parameters. The correlations across asset classes, of bonds, stocks, cash, and other Financial instruments, are state dependent using multiple correlation matrices that correspond to differing market conditions. This feature allows InnoALM to anticipate and react to severe as well as normal market conditions. Austrian pension law and policy considerations can be modeled as constraints in the optimization. The concave risk-averse preference function is to maximize the expected present value of terminal wealth at the specified horizon net of expected discounted convex (piecewise-linear) penalty costs for wealth and benchmark targets in each decision period. InnoALM has a user interface that provides visualization of key model outputs, the effect of input changes, growing pension benefits from increased deterministic wealth target violations, stochastic benchmark targets, security reserves, policy changes, etc. The solution process using the IBM OSL stochastic programming code is fast enough to generate virtually online decisions and results and allows for easy interaction of the user with the model to improve pension fund performance. The model has been used since 2000 for Siemens Austria, Siemens worldwide, and to evaluate possible pension fund regulation changes in Austria.
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concepts technical issues and uses of the russell yasuda kasai Financial Planning model
Operations Research, 1998Co-Authors: David R Carino, David H Myers, William T ZiembaAbstract:This paper discusses technical aspects of the Russell-Yasuda Kasai Financial Planning model. These include the models for the discrete distribution scenario generation processes for the uncertain parameters of the model, the mathematical approach used to develop the infinite-horizon end-effects part of the model, a comparison of algorithms used in the model's solution, and a comparison of the multistage stochastic linear programming model with the previous technology, static mean-variance analysis. Experience and benefits of the model in Yasuda-Kasai's Financial Planning process is also discussed.
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formulation of the russell yasuda kasai Financial Planning model
Operations Research, 1998Co-Authors: David R Carino, William T ZiembaAbstract:This paper describes the formulation of the Russell-Yasuda Kasai Financial Planning model, including the motivation for the model. The presentation complements the discussion of the technical details of the Financial modeling process and the managerial impact of its use to help allocate the firm's assets over time discussed in Carin~o et al. (1994, 1998, respectively). The multistage stochastic linear program incorporates Yasuda Kasai's asset and liability mix over a five-year horizon followed by an infinite horizon steady-state end-effects period. The objective is to maximize expected long-run profits less expected penalty costs from constraint violations over the infinite horizon. Scenarios are used to represent the uncertain parameter distributions. The constraints represent the institutional, cash flow, legal, tax, and other limitations on the asset and liability mix over time.
David R Carino - One of the best experts on this subject based on the ideXlab platform.
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concepts technical issues and uses of the russell yasuda kasai Financial Planning model
Operations Research, 1998Co-Authors: David R Carino, David H Myers, William T ZiembaAbstract:This paper discusses technical aspects of the Russell-Yasuda Kasai Financial Planning model. These include the models for the discrete distribution scenario generation processes for the uncertain parameters of the model, the mathematical approach used to develop the infinite-horizon end-effects part of the model, a comparison of algorithms used in the model's solution, and a comparison of the multistage stochastic linear programming model with the previous technology, static mean-variance analysis. Experience and benefits of the model in Yasuda-Kasai's Financial Planning process is also discussed.
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formulation of the russell yasuda kasai Financial Planning model
Operations Research, 1998Co-Authors: David R Carino, William T ZiembaAbstract:This paper describes the formulation of the Russell-Yasuda Kasai Financial Planning model, including the motivation for the model. The presentation complements the discussion of the technical details of the Financial modeling process and the managerial impact of its use to help allocate the firm's assets over time discussed in Carin~o et al. (1994, 1998, respectively). The multistage stochastic linear program incorporates Yasuda Kasai's asset and liability mix over a five-year horizon followed by an infinite horizon steady-state end-effects period. The objective is to maximize expected long-run profits less expected penalty costs from constraint violations over the infinite horizon. Scenarios are used to represent the uncertain parameter distributions. The constraints represent the institutional, cash flow, legal, tax, and other limitations on the asset and liability mix over time.
Kenneth Bruce - One of the best experts on this subject based on the ideXlab platform.
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ethics in Financial Planning analysis of ombudsman decisions using codes of ethics and fiduciary duty standards
Australian Journal of Management, 2021Co-Authors: Daniel W Richards, Abdullahi D Ahmed, Kenneth BruceAbstract:Scandals show that ethics is an important topic in Financial Planning. Our research analyses 212 Financial ombudsman decisions (2013–2018) to understand the nature of Financial Planning misconduct ...
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ethics in Financial Planning analysis of ombudsman decisions using codes of ethics and fiduciary duty standards
Social Science Research Network, 2021Co-Authors: Daniel W Richards, Abdullahi D Ahmed, Kenneth BruceAbstract:Scandals show that ethics is an important topic in Financial Planning. Our research analyses 212 Financial ombudsman decisions (2013-2018) to understand the nature of Financial Planning misconduct in complaint decisions. We develop a coding structure to ascertain what professional conduct involves and then use content analysis and cluster analysis to identify the aspects of professional conduct occurring in these misconduct decisions. Diligence, acting in the client’s best interest, and having no reasonable basis for advice are interconnected elements in over half of these decisions. Secondary elements are misleading statements, conflicts of interest, and disclosure. Analysis of decisions involving fiduciary duty showed that Financial planners failed to ascertain a client’s circumstances and did not form advice based on their client’s information. As Financial Planning professionalises, future research, Financial Planning education, policy, and practice should address these issues.
David H Myers - One of the best experts on this subject based on the ideXlab platform.
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concepts technical issues and uses of the russell yasuda kasai Financial Planning model
Operations Research, 1998Co-Authors: David R Carino, David H Myers, William T ZiembaAbstract:This paper discusses technical aspects of the Russell-Yasuda Kasai Financial Planning model. These include the models for the discrete distribution scenario generation processes for the uncertain parameters of the model, the mathematical approach used to develop the infinite-horizon end-effects part of the model, a comparison of algorithms used in the model's solution, and a comparison of the multistage stochastic linear programming model with the previous technology, static mean-variance analysis. Experience and benefits of the model in Yasuda-Kasai's Financial Planning process is also discussed.
Daniel W Richards - One of the best experts on this subject based on the ideXlab platform.
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ethics in Financial Planning analysis of ombudsman decisions using codes of ethics and fiduciary duty standards
Australian Journal of Management, 2021Co-Authors: Daniel W Richards, Abdullahi D Ahmed, Kenneth BruceAbstract:Scandals show that ethics is an important topic in Financial Planning. Our research analyses 212 Financial ombudsman decisions (2013–2018) to understand the nature of Financial Planning misconduct ...
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ethics in Financial Planning analysis of ombudsman decisions using codes of ethics and fiduciary duty standards
Social Science Research Network, 2021Co-Authors: Daniel W Richards, Abdullahi D Ahmed, Kenneth BruceAbstract:Scandals show that ethics is an important topic in Financial Planning. Our research analyses 212 Financial ombudsman decisions (2013-2018) to understand the nature of Financial Planning misconduct in complaint decisions. We develop a coding structure to ascertain what professional conduct involves and then use content analysis and cluster analysis to identify the aspects of professional conduct occurring in these misconduct decisions. Diligence, acting in the client’s best interest, and having no reasonable basis for advice are interconnected elements in over half of these decisions. Secondary elements are misleading statements, conflicts of interest, and disclosure. Analysis of decisions involving fiduciary duty showed that Financial planners failed to ascertain a client’s circumstances and did not form advice based on their client’s information. As Financial Planning professionalises, future research, Financial Planning education, policy, and practice should address these issues.