Asset allocation
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EU insurers embrace infrastructure bonds
Solvency II-compliant infrastructure investments concentrated in handful of firms
EU insurers shun ABS, real estate
Securitisations make up just 0.5% of portfolios; property 2.7%
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
ALM and liquidity risk reporting greatly enhanced by big data applications
Sponsored video: Luis Mataias, IBM Watson Financial Services
Dodge & Cox turns to MBS as Treasury yields rise
Income Fund grows securitised allocations from 36.1% to 39.7%
A risk-based approach to construct multi asset portfolio solutions
In this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity (GRP) framework.
Mostly prior-free asset allocation
This paper develops a prior-free version of Harry Markowitz’s efficient portfolio theory, which allows the decision maker to express their preferences with regard to risk and reward, even though they are unable to express a prior over potentially…
Lifecycle investing with the profitable dividend yield strategy: simulations and nonparametric analysis
Using simulations, the author shows that life-cycle investing implemented on highly profitable and high dividend yield stocks (the profitable dividend yield strategy) provides a compelling solution to the suboptimality problem by leveraging on the…
Tools and techniques for safeguarding fixed-income portfolios
Sponsored webinar: FactSet
CLO investors fret as rate hikes loom
Rising default rates could trigger a stampede out of the market
Investing across periods with Mahalanobis distances
The authors propose an analytical framework to measure investment opportunities and allocate risk across time based on the Mahalanobis distance.
Invest on the edges to avoid contagion, research suggests
Loosely connected assets are better protected against market crashes
Sponsored video: Iain Forrester, Standard Life Investments
Iain Forrester, investment director, insurance solutions at Standard Life investments, considers the risks and advantages of investing in multi-asset funds
Insights into robust optimization: decomposing into mean–variance and risk-based portfolios
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.
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
Fractional Kelly strategies with low-risk stocks
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.
Insurers wary of capital 'uncertainty' in multi-asset funds
Firms concerned about modelling future portfolio changes
Best asset manager: BlackRock
BlackRock out in front thanks to network effect
Nonnegative risk components
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
Bafin planning to gold-plate asset rules, insurers claim
Firms think investment limits will continue to apply after Solvency II
Lighthouse: Korean pension plan sets Asian hedge fund trend
Japanese government pension will invest in hedge funds in three years, predicts FoHF