This paper uses the fractional Kelly strategies framework to show that optimal portfolios with low-beta stocks generate higher median wealth and lower intra-horizon shortfall risk.
Firms concerned about modelling future portfolio changes
BlackRock out in front thanks to network effect
Firms think investment limits will continue to apply after Solvency II
Japanese government pension will invest in hedge funds in three years, predicts FoHF
Regulators worry too few insurers are taking Solvency II’s PPP into account
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
Asset management veteran defends value investing as tried-and-tested strategy
Dutch approach could be copied elsewhere in Europe
Regulation and tough markets put risk centre-stage, says CRO
Firms look to benefit from rising rates and cut capital charges
Insurers are rethinking their investment process in terms of risk factors
Traditional methods of gathering assets favoured by managers
Firms urged to rush restructuring of portfolios for Solvency II long-term guarantee measure
Capital charge for residential mortgages under Solvency II makes buying loan portfolios more attractive, say bankers
Exception in draft Level 2 text could exclude active funds
Size and tenor of deals grow in importance as illiquidity premium fades
As life insurers increase their exposure to infrastructure, Blake Evans-Pritchard reports on the different ways in which they are approaching the asset class
The perennial challenge for insurers and reinsurers is to make certain that the assets they hold will cover all their present and future liabilities. Traditionally, companies have sought to manage the risk of a shortfall through careful design and pricing...
Insurers predicted to increase ETF exposure
As European insurers increasingly invest in illiquid corporate debt, credit funds and partnerships with banks are helping them overcome their lack of expertise and tap into a market that offers high-yields and a chance of diversification. But markets...
High yields and low volatility driving comeback from core-Europe firms
Insurers are rethinking their investment strategies and beginning to increase their exposure to private equity. Some are even looking at it from an asset-liability management perspective.
CX Re and Partnership Assurance invest in CTF assets