We develop an optimal asset allocatlon model for the accumulation phase of a defined contribution pension plan in the presence of non-hedgeable salary risk...

Nachhaltige Veränderungen in der Versicherungsaufsicht setzen eine sorgfältige Vorbereitung in den Unternehmen voraus - Vom Pensionskassen-Forum der Gen Re CapitalVersicherungswirtschaft, 01.07.2007 .... []

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.

We derive a general framework for collateral risk control determination for central bank's open market operations. This framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the same time reducing the possibility of arbitrage...

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity markets data. We thus provide an international analysis of...

Direkt gehaltene Immobilienanlagen werden im institutionellen Umfeld aufgrund anlageklassenspezifischer Gegebenheiten als alternative Anlagen betrachtet.Mit einem durchschnittlichen Allokationsanteil von rund 12% ist deren Bedeutung in den gemischten Portfolios von Versicherungen, Pensionskassen...

The aim of portfolio insurance strategies is to put a floor on the value of a stock portfolio byprogressively selling stocks and buy safe, short-term debt securities as stock prices fall. Thispaper analyzes the current static and dynamic methods in use and explains their pros andcons.

In this contribution, we present a model that retailers engaged in e-commerce (e-tailers)can use for determining the optimal mix of customer segments within a customer portfolio froman integrated risk and return perspective....