Risk parity is a portfolio construction technique that scales sections of a portfolio—e.g., stocks, bonds, currencies, commodities—so that forecasted contributions to net portfolio risk match the budget. Because risks are measured from a point-estimate of covariance, the method is subject to...

We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends are paid periodically in real life, we study periodic dividend...

We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide an increasing level of integration in managing market and foreign exchange (FX) risks. We start with a single-stage model with currency options for...

The netting of OTC derivatives trades, known as 'compression', reduces systemic risk in financial markets by minimising counterparty exposures between large financial institutions, in particular the large dealer banks. We present here a framework for compression in the OTC derivatives market for...

We can overcome uncertainty with uncertainty. Using randomness in our choices and in what we control, and hence in the decision making process, could potentially offset the uncertainty inherent in the environment and yield better outcomes. The example we develop in greater detail is the...

Uncertain future development presents a significant challenge during the distribution strategy planning process. Traditional planning approaches, reliant on creating potential scenarios and assigning probabilities, often struggle due to future developments' inherent unpredictability, which can...

This paper studies the implications for reserve lifetime and related quantities in a continuous time model of resource extraction under uncertainty. Both the resource price and the extracted amount are assumed to follow stochastic processes. Reserve lifetime is determined by the...

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...

We can overcome uncertainty with uncertainty. Using randomness in our choices and in what we control and hence in the decision making process, could potentially offset the uncertainty inherent in the environment and yield better outcomes. This methodology is suitable for the social sciences...