On Measuring Performance Toward Retirement

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On Measuring Performance Toward Retirement
Hal Forsey, Ph.D., San Francisco State University and
Frank Sortino, Ph.D., San Francisco State University

In 1981, the Pension Research Institute began to develop a new risk return framework that became known as Post-Modern Portfolio Theory (PMPT). Risk and return are measured relative to a Desired Target Rate of Return®, referred to as the DTR®. For the first time in any journal, the authors now apply this theory to the problems in retirement planning identified by professor Robert C. Merton at MIT. We hope the ideas expressed here will spark a healthy debate that leads to improvements in the way investors are guided toward their retirement goal.

On Measuring Performance Toward Retirement
Hal Forsey, Ph.D., San Francisco State University and
Frank Sortino, Ph.D., San Francisco State University

In 1981, the Pension Research Institute began to develop a new risk return framework that became known as Post-Modern Portfolio Theory (PMPT). Risk and return are measured relative to a Desired Target Rate of Return®, referred to as the DTR®. For the first time in any journal, the authors now apply this theory to the problems in retirement planning identified by professor Robert C. Merton at MIT. We hope the ideas expressed here will spark a healthy debate that leads to improvements in the way investors are guided toward their retirement goal.

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