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#31




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#32




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(Average cost per employee from 100% treasuries  average cost per employee from a certain portfolio mix) / standard deviation (Some people told me they're using CTE in this ratio instead of mean which also makes sense to me since you would be using the mean from worst case scenarios opposed to the general mean) By maximizing this ratio I would be attaining the lowest possible cost per employee when comparing the cost per employee attained from the risk free rate while taking volatility into account. It's similar to the sharpe ratio example I gave but using cost per employee instead. Last edited by Sir Issac; 02242018 at 11:58 PM.. 
#34




Choosing CTE(95) is fine if you take a solvency perspective.
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#35




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#36




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#37




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Did you actually list the good/bad allocations and their tax Rates? In your suggested example, the logic is that all treasuries would be zero (ie. Using rf rate basically) and all equities would have very high SD pushing the value down. The target mix would have a nice mix of reasonable mean and ad(or cte). What did you use for (or what do you feel would be) an appropriate tax rate? I used the var 75 value, but I see a lot of dislike for it on the hoards here so I probably will go another direction
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#38




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I provided tax rate for the optimal mix only but showed suggested allocation mix for all three like the example in the prompt. I used var 95 for tax rate I’m not sure what you’re asking in the middle but risk free rate implies 100 percent treasury allocation 
#39




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Maximizing the ratio is then somehere in between, I. E. A reasonable mix that accomplishes goals. I like this as it may be what I was missing. I didn't have a hard matrix I could point to and say that I need to maximize or minimize. Even cv didn't work as I found the all treasury mix had lowest cv and all equities had highest. I
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