The Black-Litterman method is widely used in the investment management industry to incorporate views in investment portfolios. The method applies when views are expressed as expected returns over the horizon on which allocation decisions are made, i.e., the investment horizon. In practice,...

In this paper, we introduce a methodology that allows for imposing views on density forecasts of a (frequency domain) factor based time series model. Such a model produces a density forecast for the future evolution of economic and financial variables such as interest rates, asset returns and...

We investigate the impact of the upcoming Solvency II guidelines on the risk/return trade-off for life insurance companies. Using the Dutch (FTK) regulatory framework (Financieel ToetsingsKader or Financial Assessment Framework) as an example, we demonstrate the huge impact of the elements of...