withdrawal of employers and external insurers as risk bearers of systematic financial and longevity risks. Partly because of … pension: the Personal Pension with Risk sharing (PPR). By unbundling and valuing the investment, (dis)saving, insurance and … risk-sharing functions of pensions, PPRs allow risk management and (dis)saving to be customized to the specific features of …

contained in the volatility risk premium and option-implied skewness increases substantially Sharpe ratios and certainty …

Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk … measure with an endogenous or exogenous benchmark. If the risk measure is modelled by a negative HARA-function, then sharing … variance and kurtosis of the risk-neutral probability distribution of the aggregate pay-off. …

generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …

We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in … the hedge fund industry over the past ten years. We confirm the finding of high systematic risk exposures in FoF returns … experienced a recent, dramatic decline in risk-adjusted performance. …

the effect of decentralization on the risk and performance of pension funds, and find evidence supporting some predictions … of assets and fund management company-level skill effects. We also study changes in risk-taking when moving to … managers by allocating reduced risk budgets to each manager, which helps to compensate for the suboptimal diversification that …