Modelling and forecasting of asset volatility and covariance is of prime importance in the construction of portfolios. In this paper, we present a generalised multi-factor model that incorporates heteroskedasticity and dependence in the idiosyncratic error terms. We apply this model to...

With the exception of naive methods for portfolio selection, such as the equal weighted approaches, all other methods of portfolio allocation are more or less sensitive to the quality of the inputs considered in constructing the models and risk measures utilised in the allocation framework. The...

The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk...

Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is...

A time-series basis decomposition and trend extraction technique known as Empirical Mode Decomposition (EMD), designed for multi-scale time-frequency decomposition in non-stationary time-series settings, will be combined with Regularised Covariance Regression (RCR) methods to produce a framework...

Mechanisms to develop divestment strategies are an essential component of carbon reduction strategies. The rate at which investors should divest has become a critical aspect of effective divestment, which has shifted from the periphery to a movement of over a thousand major investors, totaling...

A detailed analysis of management and performance fees for asset managers and investment funds is undertaken. Whilst, fund fees are considered as a cost of capital for investors, the structuring of such fee mechanisms in a fund can also influence a fund manager’s decisions and investment...

Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee insurance fees are charged respectively for the market...