The authors propose an analytical framework to measure investment opportunities and allocate risk across time based on the Mahalanobis distance.
Loosely connected assets are better protected against market crashes
Iain Forrester, investment director, insurance solutions at Standard Life investments, considers the risks and advantages of investing in multi-asset funds
The authors of this paper aim to demystify portfolios selected by robust optimization by looking at limiting portfolios in the cases of both large and small uncertainty in mean returns.
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
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
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
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