Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...

A critical problem in risk analysis involving financial variables is the calculation of risk margins. When there are a number of risks, the total risk margin is often reduced to reflect "diversification benefits." How large should the diversification benefit be? And how should the benefit be...

In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in Weber (2006). From a financial point of view, Orlicz risk...

Let us suppose that presently unimagined is possible, that “the unexpected may happen” (Marshall, 1920, p. 347). Then “human decisions affecting the future, whether personal, political or economic, cannot depend on strict mathematical expectation since the basis for making such...

Asset pricing in its essence is a very controversial topic. Despite numerous research papers criticising traditional approaches, such as linear factor models, practitioners as well as academics repeatedly return to the milestone models such as the Capital Asset Pricing Model (CAPM), mainly due...

The availability of many variables with predictive power makes their selection in a regression context difficult. This study considers robust and understandable low-dimensional estimators as building blocks to improve overall predictive power by optimally combining these building blocks. Our new...

Traditional plain vanilla options can be regarded as options on a simple return. These options have convex payoffs and as a consequence of Jensen's inequality, their prices are increasing as a function of maturity in the absence of interest rate. This makes long dated call options as excessively...

We analyze whether bond investors price tail risk exposures of financial institutions using a comprehensive sample of bond issuances by U.S. financial institutions. Although primary bond yield spreads increase with an institutions' own tail risk (expected shortfall), systematic tail risk...

The objective of the research was to analyse and evaluate the role of real estate in the UK's defined contribution (DC) pensions market in relation to auto-enrollment – the new system of pension scheme provision for private sector employees in the UK, which is being phased in by all employers...

This paper identifies the risk and risk-adjusted return determinants of US insurers. We find that the significant firm-specific determinants for risk and risk-adjusted return vary slightly for the risk proxy and risk-adjusted return proxy used, and the types of insurers. We find that in general,...