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Strategic Asset Allocation Considerations for German Pension Insurance Funds : Theoretical Analysis and Empirical Evidence - Applying Stochastic Time Series Simulations and Dynamic...
Hertrich, Christian - 2011
Our research project analyses the suitability of social responsible investments (SRI) and alternative asset classes (in particular commodities, hedge fund in-vestments, high-yield bonds) for the portfolio management of German Pension Insurance Funds (Pensionskassen), the largest external...
Persistent link: https://www.econbiz.de/10013120648
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Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei; Li, Zhongfei - In: Insurance / Mathematics & economics 80 (2018), pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
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A stochastic oil price model for optimal hedging and risk management
Pennanen, Teemu; Bonatto, Luciane Sbaraini - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10013189999
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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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Charitable giving and NPOs investment decision in a stochastic dynamic economy
Jiang, Han; Simons, Aggey - 2024
Persistent link: https://www.econbiz.de/10014532348
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Jumps in foreign exchange rates and stochastic unwinding of carry trades
Nirei, Makoto; Sushko, Vladyslav - In: International review of economics & finance : IREF 20 (2011) 1, pp. 110-127
Persistent link: https://www.econbiz.de/10009304196
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Volatility versus downside risk : performance protection in dynamic portfolio strategies
Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479
Persistent link: https://www.econbiz.de/10012053148
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Intra-horizon expected shortfall and risk structure in models with jumps
Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola - 2019
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on...
Persistent link: https://www.econbiz.de/10012179511
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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
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Portfolio rebalancing based on time series momentum and downside risk
Guo, Xiaoshi; Ryan, Sarah M. - In: IMA journal of management mathematics 34 (2023) 2, pp. 355-381
Persistent link: https://www.econbiz.de/10014313747