Narrow search
Showing 1 - 10 of 174
Cover Image
Defined contribution pension plans : who has seen the risk?
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of risk and financial management : JRFM 12 (2019) 2/70, pp. 1-27
The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare...
Persistent link: https://www.econbiz.de/10012022143
Cover Image
How many stocks are sufficient for equity portfolio diversification? : a review of the literature
Zaimovic, Azra; Omanovic, Adna; Arnaut-Berilo, Almira - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-30
diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the … of the asset features, the model adopted to measure diversification (i.e., equally weighted versus optimal allocation …
Persistent link: https://www.econbiz.de/10012795951
Cover Image
Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...
Persistent link: https://www.econbiz.de/10012305145
Cover Image
Diversification and fund performance : an analysis of buyout funds
Huss, Matthias; Steger, Daniel - In: Journal of risk and financial management : JRFM 13 (2020) 6/136, pp. 1-16
This paper studies the relationship between portfolio diversification and fund performance, based on an unexplored … focus. Our results suggest that diversification within, but not across industries, associates with higher buyout fund … performance. We do not find a significant relationship between geographical diversification and performance. These results partly …
Persistent link: https://www.econbiz.de/10012309185
Cover Image
The Solvency II Standard Formula, linear geometry, and diversification
Paulusch, Joachim - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-12
framework given by the Solvency II Standard Formula. This gives rise to the definition of diversification functions, which we … define as monotone, subadditive, and homogeneous functions on a convex cone. Diversification functions constitute a class of … models for the study of the aggregation of risk and diversification. The aggregation of risk measures using a diversification …
Persistent link: https://www.econbiz.de/10011669008
Cover Image
International diversification versus domestic diversification : mean-variance portfolio optimization and stochastic dominance approaches
Abid, Fathi; Leung, Pui-lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 45-66
examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our … PO results imply that the domestic diversification strategy dominates the international diversification strategy at a …
Persistent link: https://www.econbiz.de/10011553184
Cover Image
A mean-variance diagnosis of the financial crisis : international diversification and safe havens
Eptas, Alexander; Leger, Lawrence A. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 97-117
crisis by evaluating the potential benefits of international diversification in the search for ‘safe havens’. We use stock …
Persistent link: https://www.econbiz.de/10011556006
Cover Image
Improved covariance matrix estimation for portfolio risk measurement : a review
Sun, Ruili; Ma, Tiefeng; Liu, Shuangzhe; Sathye, Milind - In: Journal of risk and financial management : JRFM 12 (2019) 1/48, pp. 1-34
The literature on portfolio selection and risk measurement has considerably advanced in recent years. The aim of the present paper is to trace the development of the literature and identify areas that require further research. This paper provides a literature review of the characteristics of...
Persistent link: https://www.econbiz.de/10012022252
Cover Image
Modeling and forecasting realized portfolio diversification benefits
Golosnoy, Vasyl; Hildebrandt, Benno; Köhler, Steffen - In: Journal of risk and financial management : JRFM 12 (2019) 3/116, pp. 1-16
For a financial portfolio, we suggest a realized measure of diversification benefits, which is based on intraday high … diversification measure and realized portfolio weight. The performance of our approach is evaluated in-sample and out-of-sample. We …
Persistent link: https://www.econbiz.de/10012027057
Cover Image
Good practice principles in modelling defined contribution pension plans
Dowd, Kevin; Blake, David - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-21
We establish 16 good practice principles for modelling defined contribution pension plans. These principles cover the following issues: model specification and calibration; modelling quantifiable uncertainty; modelling member choices; modelling member characteristics, such as occupation and...
Persistent link: https://www.econbiz.de/10013161732