This paper studies the various types of portfolio optimisation processes like Capital Asset Pricing Model, Arbitrage Pricing Theory, and Markowitz Model. It explains how these models differ from each other, and what type of risk affects an industry or a firm. The main focus is of creating an...

We compare the performance of the commonly nominated default retirement investment option, the lifecycle fund, to alternative investment strategies during retirees' decumulation phase. Under different shortfall risk measures, we find balanced portfolios with constant exposure to equities, equity...

Extensive research has evaluated mutual fund performance in different financial markets that led to mixed results; however, very limited studies have been conducted to evaluate mutual funds of Bangladesh. This paper focused on measuring risk-adjusted performance of 13 closed end mutual funds...

The basic financial purpose of an enterprise is the maximization of its value. Trade credit management should also contribute to the realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization...

Impact investing as an activity as well as a concept has grown in recognition on a true global scale. Yet, apart from anecdotal success stories of some specialised forms such as social-impact bonds, little is known about the field and the complex interplay between agents, instruments and...

The insurance linked securities (ILS) market is an increasingly important alternative asset class for which risk and return analysis differs from other asset classes. Measures of portfolio risk and return for an ILS portfolio are based on the expected losses and expected excess returns over the...

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has...

On 21 December 2006, the China Insurance Regulatory Commission (CIRC) announced a new draft version of the provisional measures on administering outbound portfolio investment of insurance funds. China has seen a rapid increase in premium income in recent years, while the domestic investment...

Along with the ongoing effort to build market cap-independent portfolios, the authors explore the properties of Diversification as a driver for portfolio construction. They introduce a measure of the diversification of portfolios that they term the “diversification ratio”. The measure is...

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...