"This book comprises the papers presented and discussed at the SAA conference, held 24-25 November 2008. It offers an exchange of views on technical and implemental issues of financial models relevant for strategic asset allocation"--Provided by publisher

The paper examines potential underreporting of risk in trading books. Namely, the co-movement of the VaR Diversification and the equity ratio is studied. Banks report - after controlling for counterfactual observable correlation - a higher diversification and thereby a lower VaR if equity is...

This paper characterizes how firms' strategic interaction in product markets affects the industry dynamics of investment and expected returns. In imperfectly competitive industries, a firm's exposure to systematic risk is jointly affected by its own investment strategy and the investment...