Narrow search
Showing 1 - 10 of 4,193
Cover Image
Managing the Risk of a Fixed Income Bond Fund
Chincarini, Ludwig B. - 2022
Increasingly, consultants for fund management firms care about the riskiness of fund managers’ investment strategies. Fund managers themselves must care about the riskiness of their investment strategies vis-a-vis the client’s specified benchmark
Persistent link: https://www.econbiz.de/10013288793
Cover Image
Managing Longevity Risk : The Case for Longevity-Indexed Variable Expiration Bonds
Muralidhar, Arun - 2020
There is an annuity puzzle in that the actual allocation by individuals to annuities is low. Longevity bonds, to hedge overall economy-wide mortality risk, have been proposed, but these bonds have challenges and the proponents have not shown how governments are hedged. This paper recommends that...
Persistent link: https://www.econbiz.de/10012843566
Cover Image
Managing Longevity Risk – The Case for Longevity-Indexed Variable Expiration (LIVE) Bonds
Muralidhar, Arun - 2018
-expectancy of the economy (having addressed retirement income through life expectancy with a complementary BFFS/SeLFIES bond). Each … bond will be cohort specific and based on tax collections of that cohort. In this fashion, the government is fully hedged … (because the bond will be a form of a collateralized debt obligation), and hence a natural issuer, with low credit risk. Since …
Persistent link: https://www.econbiz.de/10012913600
Cover Image
Downside Risk Timing by Mutual Funds
Bodnaruk, Andriy - 2015
We study whether mutual funds systematically manage downside risk of their portfolios in ways that improve their performance. We find that actively managed mutual funds on average possess positive downside risk timing ability. Funds investing in large-cap and value stocks have stronger downside...
Persistent link: https://www.econbiz.de/10013016532
Cover Image
Do Fund Managers Misestimate Climatic Disaster Risk?
Alok, Shashwat - 2020
We examine whether professional money managers overreact to large climatic disasters. We find that managers within a major disaster region underweight disaster zone stocks to a much greater degree than distant managers and that this aversion to disaster zone stocks is related to a salience bias...
Persistent link: https://www.econbiz.de/10012848430
Cover Image
Floating-Rate Bonds : Switching One Risk for Others
Institute, Brandes - 2015
Unlike traditional bonds, Floating-rate bonds (FRB) do not have a fixed rate coupon. Instead, their rate fluctuates or floats based on the market plus a spread. As a result, FRBs tend to be less vulnerable to interest-rate fluctuations. Many believe FRBs can help preserve principal, while...
Persistent link: https://www.econbiz.de/10013015640
Cover Image
The Risks of Risk Parity
Institute, Brandes - 2015
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...
Persistent link: https://www.econbiz.de/10013015173
Cover Image
Interconnectedness Risk and Active Portfolio Management : The Information-Theoretic Perspective
Baitinger, Eduard - 2017
Today's asset management academia and practice is dominated by mean-variance thinking. In consequence, this leads to the quantification of the dependence structure of asset returns by the covariance or the Pearson's correlation coefficient matrix. However, the respective dependence measures are...
Persistent link: https://www.econbiz.de/10012964139
Cover Image
FRE-GY6711 : Quantitative Portfolio Management Module 5 - Measuring and Managing Risk (Presentation Slides)
Philips, Thomas K. - 2017
Persistent link: https://www.econbiz.de/10012951802
Cover Image
Introducing Global Term Structure in a Risk Parity Framework
Stagnol, Lauren - 2017
In this paper, we aim at constructing a global risk model using the term structure from major bond-issuing countries …), providing insights on global risks at play. Secondly, such information could be used in order to design sovereign bond indexes …
Persistent link: https://www.econbiz.de/10012958146