Standard carry trades, which consist of purchasing high- and selling low-yield currencies, provide an economic diversification effect. However, the diversification effect is not robust, and is not borne out by much statistical evidence. We introduce optimized carry trades, which incorporate risk...

Measuring the value of portfolios of Standard-Essential Patents (SEP) is a difficult and controversial exercise. It has recently been suggested to use counts of technical contributions to Standard Development Organizations (SDO) as an indicator of the share of the value of a standard created by...

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as determined using Solvency II Standard Formula. In particular,...