Hedge Funds are often marketed as appealing alternative investment instruments. The quality of marketing arguments, used to seduce investors, are obviously function of the depth of market literacy of potential investors. In Italy, for instance, high returns, low volatility, and essentially no...

In this research letter we outline the interesting results of the new frontier of interdisciplinary field of behavioural finance and complex interacting systems. Indeed, empirical analysis of financial markets has shown number of stylized facts such as heavy tails or volatility quot;burstsquot;...

Minimum market transparency requirements impose Hedge Fund (HF) managers to use the statement declared strategy in practice. However each declared strategy may actually lead to a multiplicity of implemented management decisions. Is then the actual strategy the same as the announced strategy? Can...

In this paper we describe life insurance contracts as a portfolio of financial options. This type of policy constitutes the bulk of mathematical reserves of continental European insurance companies. A close examination of a typical contract reveals an exchange of options between policy holders...

Profit margins on endowment policies offered by European life insurers have been declining in recent years, due to a combination of low inflation and low bond yields. This is because these profit margins are a positive function of the gap between the risk-free rate and the minimum guaranteed...

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio volatility is translated into higher expected returns while diversification helps eliminate idiosyncratic risks. This leaves us with an apparent anomaly as low-risk (low-beta) stocks...

Present market instabilities have prompted great interest on the characteristics of specific portfolios such as minimum variance and equally- weighted risk contribution portfolios as these portfolios do not rely on the estimate of expected returns. Indeed, in turmoil periods traditional market...

This paper explores the optimisation of asset allocation within “alternative” investments, i.e. between private equity and hedge funds, as well as between private equity and public equities. It uses our proprietary Portfolio Blender tool. As a preliminary step before the optimisation, we...

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio volatility is translated into higher expected returns while diversification helps eliminate idiosyncratic risks. This leaves us with an apparent anomaly as low-risk (low-beta) stocks...

Empirical analysis of financial markets has shown number of stylized facts such as heavy tails or volatility bursts which are difficult to explain in terms of evolution of fundamental economic variables. Indeed the non-Gaussian, non-stable character of empirical distributions, such as excess...