The goal of this paper is to provide a critical overview of Moroccan insurance/pension fund investments in alternative assets through data analysis techniques. The results show that the risk of reserve depletion and the investment restrictions imposed by the regulator are not the real reasons...

Risk parity is an asset allocation strategy designed so each asset class contributes equally to overall portfolio risk (as measured by volatility). While risk parity offers potential advantages, its success hinges on key assumptions and a favorable environment for bonds. Like the traditional...

This paper adopts a versatile multivariate conditional correlation model to estimate daily seasonality in the returns, the volatility, and the correlations between stocks, bonds, gold and Bitcoin. Besides the well known seasonality in stocks and bonds, the day-of-the-week effect is also present...

A significant part of the development in pension provision in many countries is the emergence of ‘Target Date Funds' or TDFs. In this paper we examine the proposition of de-risking through life and the guidance offered by TDFs in the decumulation phase following retirement. We investigate the...

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...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

InvestorLit is a subscription service providing reviews of institutional investment literature. The reviews cover a wide range of investment topics and are published online. Bruce Grantier, founder of InvestorLit, is a member of the Brandes Institute Advisory Board. Members of the InvestorLit...

Passive investing, particularly in emerging markets, has become an increasingly popular means of quick, “diversified” exposure to a particular segment of the markets. Flows into passive emerging market products have been so strong that assets in exchange-traded funds (ETFs) designed to...

In recent years many US corporate pension plans have closed and entered their “end-state.” As end-state plans have become more prevalent, their special portfolio management challenges, including asset allocation, have gained attention.Pure immunization with public fixed income assets...