The Rational Reminder Podcast cover image

David Blanchett: Regret Optimized Portfolios, and Optimal Retirement Income (EP.254)

The Rational Reminder Podcast

00:00

The Effect of Optimizing Over Regret on Risk Aversion

It's hard enough to do a mean variance optimization because we can't predict the future. And this would be even harder, I can only imagine, to truly optimize XAnnie. How does the effect of optimizing over regret change depending on risk aversion? So it has different effects, right? It could actually increase your expected return based upon your assumptions around regretted assets. But by definition, risk is going to increase because you're allocating more of your wealth to assets that have high volatility.

Transcript
Play full episode

The AI-powered Podcast Player

Save insights by tapping your headphones, chat with episodes, discover the best highlights - and more!
App store bannerPlay store banner
Get the app