Reinsurer clips US, UK, Italy holdings
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…
Solvency II-compliant infrastructure investments concentrated in handful of firms
Securitisations make up just 0.5% of portfolios; property 2.7%
Research is starting to show the stock-bond link in a new light
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
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Income Fund grows securitised allocations from 36.1% to 39.7%
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.
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…
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Rising default rates could trigger a stampede out of the market
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