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On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15
Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …
Persistent link: https://www.econbiz.de/10011890772
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Combining alphas via bounded regression
Kakushadze, Zura - In: Risks : open access journal 3 (2015) 4, pp. 474-490
We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications, typically, there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to...
Persistent link: https://www.econbiz.de/10011402659
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Where is the risk reward? : the impact of volatility-based fund classification on performance
Ewen, Martin - In: Risks : open access journal 6 (2018) 3, pp. 1-20
on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk … higher leverage induced by the SRRI, nor the potential protection in downside markets pay off on a risk adjusted basis. …
Persistent link: https://www.econbiz.de/10011890779
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Volatility timing in CPF investment funds in Singapore : do they outperform non-CPF funds?
Shen, Xiaoyi; Tsui, Albert K.; Zhang, Zhaoyong - In: Risks : open access journal 7 (2019) 4/106, pp. 1-16
Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on … will provide the CPF board with a new method for risk classification. We employ the GARCH models and modified factor models …
Persistent link: https://www.econbiz.de/10012127925
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Stable value funds performance
Babbel, David F.; Herce, Miguel A. - In: Risks : open access journal 6 (2018) 1, pp. 1-40
portfolios across a broad range of risk aversion levels. We discuss factors that contributed to stable value funds’ past …
Persistent link: https://www.econbiz.de/10011811549
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Do US active mutual funds make good of their ESG promises? : evidence from portfolio holdings
Guidolin, Massimo; Magnani, Monia - In: Risks : open access journal 12 (2024) 2, pp. 1-26
We investigate the occurrence of greenwashing in the US mutual fund industry. Using panel regression methods, we test whether there exist differences in the portfolio investment behaviors of active equity funds that are self-declared to be driven by ESG motives when compared to all other funds....
Persistent link: https://www.econbiz.de/10014497325
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Unveiling outperformance : a portfolio analysis of top ai-related stocks against IT indices and robotics ETFs
Karoui, Ali Trabelsi; Sayari, Sonia; Dammak, Wael; … - In: Risks : open access journal 12 (2024) 3, pp. 1-21
these stocks in diversifying portfolios, analyzing their return potential and risk profiles. Our analysis includes various … investment scenarios, focusing on common AI-related stocks in the United States. We explore the influence of risk management …
Persistent link: https://www.econbiz.de/10014497423
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Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds
Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30
investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 ….1) are adapted to predict the volatility of investment funds. The current development focuses on forecasting the risk … of the models GARCH, EGARCH and GARCH-M with the highest risk concentration the investment fund "Golden Lev Index 30 …
Persistent link: https://www.econbiz.de/10014436423
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Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model
Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33
Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …
Persistent link: https://www.econbiz.de/10009754682
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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
We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk …. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … underlying risk. We show, by numerical examples and empirical examples, how sensitive these indexes are to disaster risk …
Persistent link: https://www.econbiz.de/10012483189