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Local hedging of variable annuities in the presence of basis risk

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 611-646

Persistent link: https://www.econbiz.de/10011875672

On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15

such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from …

Persistent link: https://www.econbiz.de/10011890772

Optimal risk budgeting under a finite investment horizon

López de Prado, Marcos M.; Vince, Ralph; Zhu, Qiji Jim - In: Risks : open access journal 7 (2019) 3/86, pp. 1-15

-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The … GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute … the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that …

Persistent link: https://www.econbiz.de/10012126488

Risky risk measures : a note on underestimating financial risk under the normal assumption

Goodfellow, Christiane; Salm, Christian - In: Copernican Journal of Finance & Accounting : CJF&A 5 (2016) 2, pp. 85-108

Persistent link: https://www.econbiz.de/10012216155

Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation

Ñíguez, Trino-Manuel; Payá, Ivan; Peel, David; … - 2015

Persistent link: https://www.econbiz.de/10011796068

An uncertainty quantification framework for the achievability of backtesting results of trading strategies

Chan, Raymond H.; Ma, Alfred Ka Chun; Yeung, Lanston … - In: The journal of investment strategies 6 (2017) 4, pp. 21-46

Persistent link: https://www.econbiz.de/10011771278

Model risk in risk models : quantifying statistical uncertainty in active risk

Khang, Kevin - In: The journal of portfolio management : JPM 47 (2021) 3, pp. 51-65

Persistent link: https://www.econbiz.de/10012423057

Investment strategy in Brazil's financial market : wide possibilities of choice between risk and return

Feijó, Ricardo - In: International journal of economics and finance 12 (2020) 8, pp. 40-51

Persistent link: https://www.econbiz.de/10012425900

Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches

Sigauke, Casto - In: Economics, management and financial markets 11 (2016) 4, pp. 33-48

Persistent link: https://www.econbiz.de/10011868092

Are value at risk and maximum drawdown different from volatility in stock market?

Kim, Soo-Hyun - In: The journal of applied business research 34 (2018) 2, pp. 217-222

Persistent link: https://www.econbiz.de/10011868772