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Pension fund management, investment performance, and herding in the context of regulatory changes : new evidence from the Polish pension system
Dopierała, Łukasz; Mosionek-Schweda, Magdalena - In: Risks : open access journal 9 (2021) 1/6, pp. 1-19
The aim of this paper is to assess the impact of reforms introduced in the operation of Polish open pension funds on management style, risk exposure and related investment performance. The article analyzes the impact of the reformed regulations on the herd behavior of fund managers. In...
Persistent link: https://www.econbiz.de/10012422900
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Improving on defaults : helping pension participants manage financial market risk in target date funds
Turner, John A.; Klein, Bruce W. - In: Risks : open access journal 9 (2021) 4, pp. 1-14
The central issue of this paper is analysis and resulting proposals to help unsophisticated pension participants achieve pension portfolios that match their level of risk aversion when there is a large amount of unexplained heterogeneity in risk aversion. Target date funds are commonly used as...
Persistent link: https://www.econbiz.de/10012508770
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Investors' trading activity and information asymmetry : evidence from the Romanian stock market
Kampe, Cristina - In: Risks : open access journal 9 (2021) 8, pp. 1-19
This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004-2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years...
Persistent link: https://www.econbiz.de/10012612399
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Decomposition of natural catastrophe risks : insurability using parametric CAT bonds
Marvi, Morteza Tavanaie; Linders, Daniël - In: Risks : open access journal 9 (2021) 12, pp. 1-19
the parametric CAT bond are derived. Multi-regional and multi-hazard parametric CAT bonds are introduced to reduce the …
Persistent link: https://www.econbiz.de/10012705095
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On the diversification of fixed income assets
Le Courtois, Olivier - In: Risks : open access journal 10 (2022) 2, pp. 1-21
This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...
Persistent link: https://www.econbiz.de/10012806470
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Desirable portfolios in fixed income markets : application to credit risk premiums
Garrido, José; Okhrati, Ramin - In: Risks : open access journal 6 (2018) 1, pp. 1-21
An arbitrage portfolio provides a cash flow that can never be negative at zero cost. We define the weaker concept of a “desirable portfolio” delivering cash flows with negative risk at zero cost. Although these are not completely risk-free investments and subject to the risk measure used,...
Persistent link: https://www.econbiz.de/10011811620
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The role of longevity-indexed bond in risk management of aggregated defined benefit pension scheme
Zhang, Xiaoyi; Li, Yanan; Guo, Junyi - In: Risks : open access journal 12 (2024) 3, pp. 1-17
investigate the investment strategies in a market, comprising a longevity-indexed bond and a risk-free asset, under stochastic …
Persistent link: https://www.econbiz.de/10014497428
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Assessing the market risk on the government debt of Kazakhstan and Bulgaria in conditions of turbulence
Em, Olga; Georgiev, Georgi; Radukanov, Sergey; Petrova, … - In: Risks : open access journal 10 (2022) 5, pp. 1-18
. The duration method was used in the calculation of Delta normal bond VaR and CVaR. It was found that with the same credit …–two indicators measuring linearly the sensitivity of bond prices to changes in market interest rates (Weighted average Macaulay … variants (SR Undiversified VaR, SR Diversified VaR, and SR Diversified CVaR). When evaluating the bond portfolio VaR and CVaR …
Persistent link: https://www.econbiz.de/10013359115
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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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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
The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally managed funds. In particular, we empirically...
Persistent link: https://www.econbiz.de/10012127925