This paper presents a new approach to incorporate estimation risk into mean-variance portfolio selection. The key contribution of our analysis is that we model the estimation risk as a second, independent source of risk.

The economic downturn has affected people in many ways. One such example is the impact on perceptions towards risk, both in terms of businesses and individuals. In the final paper of the ‘Risky Business’ series Clare Sheikh, Group Director of Strategy, Marketing & Customer for RSA, explores...

This Risk Management Standard is theresult of work by a team drawn from themajor risk management organisations inthe UK, including the Institute of Riskmanagement (IRM).In addition, the team sought the views andopinions of a wide range of otherprofessional bodies with interests in...

Primary responsibility for risk and risk management with the business, Responsibility for risk management assigned to individual "risk owners", Support to and control of the business by specialized expert functions...

Explicit guarantees are good for shareholders, policyholders and regulators: increased transparency. The risk management of capital market risks embedded in life (re) contracts is non-trivial. A bank-like operation (hedging platform) is needed for quantification, hedge design and controlling of...

Mass litigation, risk and losses, short and long term; Globalisation of mass litigation; Mass litigation game; Mass litigation development risk: Time dimension and interaction...

Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...

In May 2004 the CFO Forum harmonized the various efforts of reporting the embedded valueof life insurance companies by issuing the European Embedded Value (EEV) Principles.In this working paper a methodology is proposed to derive a maximum lending amountfrom EEV figures without much additional...