Q Group – Actuaries Institute joint seminar “Achieving Optimal Decisions in Dynamic Portfolio and Lifecycle Products"

20 Sep 2018

Dr. Zili Zhu


KPMG Melbourne office
Tower Two, 727 Collins Street,

Dear Q Group members,

You are invited to attend a Q Group – Actuaries Institute joint seminar “Achieving Optimal Decisions in Dynamic Portfolio and Lifecycle Products” given by Dr. Zili Zhu, at 12pm Thursday 20 September 2018, at KPMG Melbourne office (Tower Two, 727 Collins Street, Docklands).


Please register via Actuaries Institute website (https://www.actuaries.asn.au/events/calendar?id=2066) and also send an email to qrsvp@qgroup.org.au



12:00pm Arrival

12:10pm Seminar starts

1:30pm Networking

For superannuation assets, the time horizon typically can be 40 years of accumulation phase and 30 years of retirement phase. For such a long time horizon, any forecast of future economic scenarios and asset performances cannot be relied upon due to its large uncertainty. However, decisions still need to be made to select the right portfolios and to choose the appropriate lifecycle products. In this talk, we present a more consistent approach for achieving optimal decisions even when large uncertainty exists with forecasted possible future economic scenarios and outcomes.

We first present the dynamic portfolio allocation strategy of the Real-options (stochastic dynamic optimisation) methodology. This Real-options approach is a multi-period portfolio optimisation strategy. In this approach, portfolio selection decisions today and in future years are interconnected and are path-dependent on forecasted uncertain scenarios of future asset performance and economic variables. An optimal portfolio weight at the investment decision time is naturally derived for given large number of highly uncertain forecasted future economic scenarios. This Real-options approach is flexible: for example, the drawdown can be readily controlled when managing a typical superannuation portfolio.

Secondly, we present our analysis of some lifecycle products in the super sector. Generally, lifecycle products for retirement phase shift to have less growth assets such as equities. Conservative or balanced portfolios are commonly used for default lifecycle products. We use a large number of forecasted future economic scenarios to study if such typical lifecycle products are indeed fit for purpose, for example, if such lifecycle products can probabilistically and confidently provide the income required for the predetermined lifestyle until the end.

The content of this presentation is from the work produced by RiskLab.


Zili Zhu is the Director of RiskLab at CSIRO’s Data61. At RiskLab, Dr Zhu leads the R&D team in developing new real-options strategies for decision-making under uncertainty in portfolio allocation and the latest math models for exotic options valuation in the foreign-exchange market. Recently, Dr Zhu has also been analysing return performances from the ATO SMSF data and on asset and super data of pensioners from DHS.

RiskLab is the Australia node of the global RiskLab network (RiskLab.com.au), it focuses on the innovation and implementation of risk analytics and optimal decision tools.


The Q Group Committee

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