risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

We consider a capital at risk (CaR) minimization problem in an incomplete market Black-Scholes setting. The …

Solvency II is a new risk-based framework for setting the capital requirements of European insurance companies, in … contribution to the solvency capital requirement, to provide insight in the risk allocation and the trade-off between return and … marginal risk. In addition we derive the optimal strategic asset allocation for an insurer that maximizes the expected return …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

Financial institutions commonly face the risk that large trades will execute at unfavorable prices due to price impact … into smaller pieces and to trade these pieces sequentially over time. Such a strategy, however, is exposed to market risk …. Unlike price impact, market risk can be hedged. This paper explores the market risk management of the liquidation of a large …

risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the …-based model, offering a closer match to both the return performance and risk characteristics of the hedge fund strategy indices …

diversification in different asset classes across dissimilar markets or imposing risk budgets on individual assets and/or asset … classes or enforcing capital budgets and other investor preferential constraints modeling their risk appetites and allocation … index, in the face of risk budgeting and other investor specific constraints. Adopting Diversification Ratio for its …