I am a private investor and I wish to invest my (some of) pension myself in stocks, ETFs and bonds. I want to implement at model myself.

Which quantitive portfolio optimization model will you suggest to a private investor to invest one's pension? And why?

I think I will (possibly) rebalance every 6 or 12 month..

Black-Litterman? Markowitz? Mean-CVaR? There are many of them

  • Hi, welcome to Personal Finance & Money. I don't know that this is really answerable in a meaningful, factual way; it seems much more like something that's just an opinion, and quite broad, and as such isn't really a good fit for this site. Questions that are well received would be more focused on a particular model and its benefits for your particular use case; adding more detail about your age, amounts of money, risk tolerance, etc. would all be helpful, but not sufficient I think for the question just as posed right now. Perhaps research the models and ask about the one you're most interested in. – Joe Mar 11 '19 at 18:30
  • You may be overthinking your retirement portfolio construction if you're concerned about very specific portfolio optimization models. Have a look at existing retirement fund portfolios (e.g. public target date mutual funds/ETFs, roboadvisory model portfolios, etc.) and then construct one for yourself with similar weightings, or adjusted to weights you are more comfortable with. If there's one thing you should worry about more, it's product fees. – Chris W. Rea Mar 11 '19 at 19:26

I would recommend putting the investment in six-month duration bonds. Then every three to four months move 10% of the investment into a position that has been found to be interesting.

This slow-roll can find both growth positions and macro positions relevant to current economic conditions.

Once the entire investment is placed the investor might allow themselves one re-positioning every three to four months.

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  • Can you give examples of 'six-month duration bonds'? – k.dkhk Mar 12 '19 at 3:49
  • Well, a Treasury Direct account can invest in Treasury Bills. Otherwise there are ETF's like mint, near, bil, and shy. Look for the fund's duration number. – S Spring Mar 12 '19 at 13:18
  • Maybe you can give a link of a specific example? – k.dkhk Mar 12 '19 at 15:30
  • I see that ticker-symbol mint has a duration of 0.27 years while ticker-symbol near has a duration of 0.51 years. Ticker-symbol shy has a duration of 1.89 years. – S Spring Mar 12 '19 at 18:36

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