pricing, the Black-Litterman asset allocation model, empirical cross-sectional asset pricing, and event studies. With a strong …

This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long …-term target return on asset liability management (ALM). This study conducts asset allocation using the ex ante expected rate of … used in financial time series data. Based on asset allocation simulations, this study derived the following insights: first …

to invest in the risky fnancial assets. Commercial insurance displays a larger marginal efect on fnancial asset … allocation than social insurance. Our study results highlight an essential link between health shocks, medical insurance, and …

This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw … solvency and asset returns of the institution compared to a standard institutional investor's asset allocation. …

Standard strategic asset allocation procedures usually neglect market interaction. However, returns are not generated …/variance optimization is static and concerned with finding the optimal asset allocation, evolutionary portfolio theory is dynamic and its … that outperform competing alternatives. Therefore, strategic asset allocation approaches that rely on such an economic …

This paper introduces a sparse and stable optimization approach for a multi-currency asset allocation problem. We study …