maximum limits by asset class) in order to create funds with different risk-return profiles. In this article we challenge this … approach and show that such funds exhibit erratic risk-return profiles that deviate significantly from the intended design. We … propose to replace all minimum and maximum asset allocation constraints by a single risk metric (or measure) that controls …

We suggest a behavioral perspective for the demand for risky assets (DRA) in which the risk-free rate affects this … demand: the lower the risk-free rate the higher the demand for risky assets. This perspective is based on the idea that … quo (or reference point). We begin by demonstrating that when the risk-free rate decreases, DRA increases even among …

A well established believe in the pension industry is that collective pension funds should take more stock market risk … (compared to individual retirement accounts) since risk may be shared with future generations. We extend the OLG model of … Gollier (2008) by adding labor income risk in the spirit of Benzoni, Collin-Dufresne, and Goldstein (2007) and show that this …

plans typically must fund spending from accumulated savings. This leads to the risk of depleting these savings, i ….e.portfolio depletion risk. We analyze the management of this risk through life cycle optimal dynamic asset allocation, including the … objective functions are tested and compared. We focus on the risk of portfolio depletion at the terminal date, using such …

empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of … all borrowers. The results of the test supported the hypothesis of portfolio risk pricing and suggest that the spread of … loan required that the spread of loan required by risk-averse lenders is in general higher than the risk premium of the …

or long-term unemployment, may occur during working years. Personal disaster risk alters lifetime ex-ante investment … characterizes rare disasters, results in lower risk-taking at the beginning of working life, and is crucial in order to match the …

In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio … construction is implemented to improve capital utilization in growing markets and systematically step away from risk scenarios …. However, the performance of risk targeting varies with different implementations of risk estimation. Risk Targeting using …

Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …