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Sensitivity of performance indexes to disaster risk
Hodoshima, Jiro; Yamawake, Toshiyuki - In: Risks : open access journal 9 (2021) 2/40, pp. 1-22
. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … Foster-Hart performance index proposed by Kadan and Liu. These performance indexes provide evaluations sensitive to the … literature, we show by the regression analysis of the index and summary statistics these indexes are in fact not excessively …
Persistent link: https://www.econbiz.de/10012483189
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Can sustainable investment yield better financial returns : a comparative study of ESG indices and MSCI indices
Jain, Mansi; Sharma, Gagan Deep; Srivastava, Mrinalini - In: Risks : open access journal 7 (2019) 1/15, pp. 1-18
indices from both developed and emerging markets. With an intent to maintain consistency, this paper comparatively analyzes … index—TRESGDX, emerging markets ESG index—TRESGEX, US large-cap ESG index—TRESGUS, Europe ESG index—TRESGEU, and those of … the usual markets, namely MSCI world index (MSCI W), MSCI All Country World Equity index (MSCI ACWI), MSCI USA index (MSCI …
Persistent link: https://www.econbiz.de/10012016034
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Assessing the causality relationship between the geopolitical risk index and the agricultural commodity markets
Micallef, John; Grima, Simon; Spiteri, Jonathan; … - In: Risks : open access journal 11 (2023) 5, pp. 1-15
empirical results also showed how the GPR Threat sub-index Granger-affected the future prices of soybean oil, coffee, wheat, and … oats. On the other hand, the GPR Act sub-index only Granger-affected the future price of oats. The findings of this study …
Persistent link: https://www.econbiz.de/10014332047
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Role of the global volatility indices in predicting the volatility index of the Indian economy
Prasad, Akhilesh; Bakhshi, Priti - In: Risks : open access journal 10 (2022) 12, pp. 1-18
Movements in the volatility index of the Indian economy are influenced by global volatility indices (fear index). This … the implied volatility index of India, denoted by the symbol 'India VIX'. Historical daily data from 18 September, 2009 … volatility index. Additionally, the Eurozone implied volatility index was also important. However, the implied volatility indices …
Persistent link: https://www.econbiz.de/10014230843
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Model risk in portfolio optimization
Stefanovits, David; Schubiger, Urs; Wüthrich, Mario V. - In: Risks : open access journal 2 (2014) 3, pp. 315-348
We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...
Persistent link: https://www.econbiz.de/10010400258
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Nagging predictors
Richman, Ronald; Wüthrich, Mario V. - In: Risks : open access journal 8 (2020) 3/83, pp. 1-26
We define the nagging predictor, which, instead of using bootstrapping to produce a series of i.i.d. predictors, exploits the randomness of neural network calibrations to provide a more stable and accurate predictor than is available from a single neural network run. Convergence results for the...
Persistent link: https://www.econbiz.de/10012293262
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Least Quartic regression criterion to evaluate systematic risk in the presence of co-skewness and co-kurtosis
Arbia, Giuseppe; Bramante, Riccardo; Facchinetti, Silvia - In: Risks : open access journal 8 (2020) 3/95, pp. 1-14
This article proposes a new method for the estimation of the parameters of a simple linear regression model which is based on the minimization of a quartic loss function. The aim is to extend the traditional methodology, based on the normality assumption, to also take into account higher moments...
Persistent link: https://www.econbiz.de/10012293311
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An intersection-union test for the sharpe ratio
Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13
An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...
Persistent link: https://www.econbiz.de/10011866388
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On two mixture-based clustering approaches used in modeling an insurance portfolio
Miljkovic, Tatjana; Fernández, Daniel - In: Risks : open access journal 6 (2018) 2, pp. 1-18
We review two complementary mixture-based clustering approaches for modeling unobserved heterogeneity in an insurance portfolio: the generalized linear mixed cluster-weighted model (CWM) and mixture-based clustering for an ordered stereotype model (OSM). The latter is for modeling of ordinal...
Persistent link: https://www.econbiz.de/10011867387
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Valuation of large variable annuity portfolios using linear models with interactions
Gan, Guojun - In: Risks : open access journal 6 (2018) 3, pp. 1-19
A variable annuity is a popular life insurance product that comes with financial guarantees. Using Monte Carlo simulation to value a large variable annuity portfolio is extremely time-consuming. Metamodeling approaches have been proposed in the literature to speed up the valuation process. In...
Persistent link: https://www.econbiz.de/10011890680