This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2015. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss the past and current developments and necessary next steps for dealing with...

We study the selection of private equity managers (GPs) for over 100,000 capital commitments between 1990 and 2019 by global institutional investors (LPs) choosing from a plausible contemporaneous opportunity set. In addition to chasing GPs with high prior performance, LPs have large...

We study how plan sponsors choose investment management firms from their opportunity set when delegating $1.6 trillion in assets between 2002 and 2017. Two factors play an influential role in choice: pre-hiring returns, and pre-existing personal connections between personnel at the plan (or...

The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and nonellipticity. It introduces a so-called...

We augment the existing literature using the Log-Periodic Power Law Singular (LPPLS) structures in the log-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the LPPLS detection problem. This allows us to disentangle...

Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to synchronise on the uncertain beginning of the bubble. We propose an indirect quantitative test of this hypothesis and confront it with the alternative according to which bubbles persist...

A non-Gaussian multivariate regime switching dynamic correlation model for fi nancial asset returns is proposed. It incorporates the multivariate generalized hyperbolic law for the conditional distribution of returns. All model parameters are estimated consistently using a new two-stage...

We analyse the consequences of predicting and exploiting financial bubbles in an agent-based model, with a risky and a risk-free asset and three different trader types: fundamentalists, noise traders and "dragon riders" (DR). The DR exploit their ability to diagnose financial bubbles from the...

Covariance matrix forecasts for portfolio optimization have to balance sensitivity to new data points with stability in order to avoid excessive rebalancing. To achieve this, a new robust orthogonal GARCH model for a multivariate set of non-Gaussian asset returns is proposed. The conditional...

Purpose – We use a large and rich data set consisting of over 123,000 single-family houses sold in Switzerland between 2005 and 2017 to investigate the accuracy and volatility of different methods for estimating and updating hedonic valuation models.Design/methodology/approach – We apply six...