Asset allocation
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
Supervisors fret over grasp of prudent person rule
Regulators worry too few insurers are taking Solvency II’s PPP into account
Stress testing in non-normal markets via entropy pooling
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
Passive investment will hurt economic growth, Brandes says
Asset management veteran defends value investing as tried-and-tested strategy
Life firms look to build on mortgage lending success
Dutch approach could be copied elsewhere in Europe
Q&A: Standard Life's Singh on changes in risk management
Regulation and tough markets put risk centre-stage, says CRO
Insurers explore barbell investment strategies
Firms look to benefit from rising rates and cut capital charges
Insurers warm to risk factor diversification
Insurers are rethinking their investment process in terms of risk factors
Hedge funds reluctant to use Jobs Act
Traditional methods of gathering assets favoured by managers
Insurers face tight deadline for matching adjustment
Firms urged to rush restructuring of portfolios for Solvency II long-term guarantee measure
Insurers weigh home-loan investment as efficient source of yield
Capital charge for residential mortgages under Solvency II makes buying loan portfolios more attractive, say bankers
Commission proposals to ease look-through rules ‘require clarification’
Exception in draft Level 2 text could exclude active funds
Insurers hunt for 'scale premium' in infrastructure assets
Size and tenor of deals grow in importance as illiquidity premium fades
Insurers bridge infrastructure investment challenge
As life insurers increase their exposure to infrastructure, Blake Evans-Pritchard reports on the different ways in which they are approaching the asset class
Integrating risk management with the investment process - a Munich Re case study
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…