We develop portfolio optimization problems to a non-life insurance company for finding the minimum capital required, which simultaneously satisfy solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three...

We consider a capital at risk (CaR) minimization problem in an incomplete market Black-Scholes setting. The optimization problem is studied, given the possibility that a correlation constraint between the wealth process and a financial index is imposed. The optimal portfolio is not unique and it...

In Part 1 a simple market timing algorithm was described that switches from an exchange traded fund representing U. S. equities (SPY) to one holding treasury long bonds (TLT) every month on the last day, the switch being made to whichever ETF has the greatest ratio of current adjusted closing...

In this paper, we propose a Fenchel duality approach to study the minimization problem of the shortfall risk. We consider a general increasing and strictly convex loss function, which may be more general than the situation of convex risk measures usually assumed in the literature. We first...

Portfolio insurance can be an appropriate means to preserve a given capital floor, yet the associated risk budgeting parameters need to be tailored to align with the underlying investment strategy. The main determinants are strategic asset allocation as well as the range and accuracy of tactical...

Accurate estimation and optimal control of tail risk is important for building portfolios with desirable properties, especially when dealing with a large set of assets. In this work, we consider optimal asset allocations strategies based on the minimization of two asymmetric deviation measures,...

We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete distributions associated with positive (and negative) bubbles....

We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the predictors) with the highest predictive power. The resulting forecasts are more...

To limit the maximum loss of a portfolio, investment strategies can be enhanced by adding a portfolio insurance component. We have analyzed various portfolio insurance strategies – from the static stop-loss concept to option-based strategies and dynamic portfolio insurance strategies. The...

We propose a shrinkage estimator for parameters θ which improves the mean squared error of functions x (θ) over standard choices. When the restricted model estimator is in the class of minimum distance estimators, we project onto the restricted parameter space using a matrix based on the...