Catastrophe bonds beyond Markowitz:applying Omega and expected shortfall
Dr Gregor Gawron, a hedge fund analyst at RMF, and Dr Stefan Scholz, head of quantitative analysis at RMF, examine how adding CAT bonds to an investment portfolio can benefit the risk/return characteristics of the portfolio, and be anything but catastrophic for the end investor
Spreading risk exposure is a common risk management technique in insurance, reinsurance and finance. A well-diversified portfolio of uncorrelated assets can eliminate the non-systematic risk and thus improve an investor's risk profile.
A few decades ago, by simply allocating money in different countries or sectors, investors could achieve large diversification benefits. Today, due to different
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