Lifetime Financial Advice: Human Capital, Asset Allocation, and Insurance

Roger G. Ibbotson Yale School of Management Zebra Capital Management Moshe A. Milevsky Schulich School of Business, York University IFID Centre Peng Chen, CFA Ibbotson Associates Kevin X. Zhu Ibbotson Associates Lifetime Financial Advice: Human Capital, Asset Allocation, and Insurance Statement of Purpose The Research Foundation of CFA Institute is a not-for-profit organization established to promote the development and dissemination of relevant research for investment practitioners worldwide. Neither the Research Foundation, CFA Institute, nor the publication’s editorial staff is responsible for facts and opinions presented in this publication. This publicationreflects the views of the authors and doesnot represent the official views of the Research Foundation or CFA Institute. The Research Foundation of CFA Institute and the Research Foundation logo are trademarks owned by The Research Foundation of CFA Institute. 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ISBN 978-0-943205-94-6 6 April 2007 Editorial Staff Elizabeth A. Collins Book Editor David L. Hess Assistant Editor Kara H. Morris Production Manager Lois Carrier Production Specialist Lifetime Financial Advice: Human Capital, Asset Allocation, and Insurance Biographies Roger G. Ibbotson isa professor at the Yale School of Management andchairman of Zebra Capital Management, a quantitative equity hedge fund manager. In addition, he is founder of and adviser to Ibbotson Associates, now a Morningstar, Inc., company. He has written numerous books and articles, including the annually updated Stocks, Bonds, Bills, and Inflation (with Rex Sinquefield), which serves as a standard reference for information on capital market returns. He taught for many years at the University of Chicago, where he also served as executive director of the Center forResearch in Security Prices. Professor Ibbotson has earned many awards for his writing, including several Graham and Dodd Scroll Awards from the Financial Analysts Journal. He received his bachelor’s degree in mathematics from Purdue University, his MBA from Indiana University, and his PhD from the University of Chicago. Moshe A. Milevsky is an associate professor of finance at the Schulich School of Business, YorkUniversity,and the executivedirector of theIFID Centre in Toronto. Professor Milevsky has written five books and published more than 45 articles on the topics of investments, insurance, and pensions. He is currently the co-editor of the Journal of Pension Economics and Finance and is a monthly columnist for Research Magazine. He has consulted and lectured widely on the topic of retirement income planning and is currently a member of the Bank of Montreal Financial Group Advisory Council on Retirement and a member of the Fidelity Institute External Advisory Board. In the summer of 2002, he was designated a fellow of the Fields Institute for Research in Mathematical Sciences. He has a PhD in business finance, an MA in mathematics and statistics, and a BA in mathematics and physics. Peng Chen, CFA, is presidentand chiefinvestment officer at Ibbotson Associates, a registered investment adviser and wholly owned subsidiary of Morningstar, Inc. He has played a key role in the development of Ibbotson’s investment consulting and 401(k) advice/managed retirement account services. A respected researcher, Dr. Chen has expertise in asset allocation, portfolio risk measurement, nontraditional assets, and global financial markets. His writings have appeared in the Financial Analysts Journal, Journal of Portfolio Management, Journal of Investing, Journal of Financial Planning, Bank SecuritiesJournal, American Association ofIndividual Investors Journal, Consumer Interest Annual, and Journal of Financial Counseling and Planning. He received the Articles of Excellence Award from the Certified Financial Planner Board in 1996 and a 2003 Graham and Dodd Scroll Award from the Financial Analysts Journal. Dr. Chen received his bachelor’s degree in industrial management engineering from Harbin Institute of Technology and his master’s and doctorate in consumer economics from Ohio State University. Biographies Kevin X. Zhu is a senior research consultant at Ibbotson Associates, a Morningstar, Inc., company. His research covers such areas as asset allocation coupled with human capital and/or insurance products, portfolio construction, investment strategies, mutual fund performance and selection, and personal finance. Dr. Zhu also contributes to the development of various Ibbotson products and methodologies, including software, investment management services, and retirement income solutions. His writings have appeared in the Financial Analysts Journal. Dr. Zhu received his doctorate in finance and master’s degree in economics from York University. He received his bachelor’s degree in mathematics from Lanzhou University. Acknowledgments We would like to thank the Research Foundation of CFA Institute for its support in making this monograph possible. We especially appreciate the assistance, support, and encouragement of Research Director Larry Siegel. We also want to acknowledge Michael Henkel, Thomas Idzorek, Sherman Hanna, Jin Wang, Huaxiong Huang, and Robert Kreitler for many helpful discussions regarding some of the underpinnings of this work. We would also like to acknowledge the assistance provided by research associates and staff at the IFID Centre and Ibbotson Associates. Finally, we want to thank Alexa Auerbach and the editorial staff members of CFA Institute for extensive editing assistance. ... - tailieumienphi.vn