Optimal asset allocation well-fitting investors' goals is a pressing challenge in risk management. Making a step forward to the Sharpe ratio, the parameter-dependent Sortino-Satchell, Generalized Rachev and Farinelli-Tibiletti performance ratios are suggested for personalizing asset allocation....

This paper employs cross-frontier analysis, an innovative tool based on data envelopment analysis, to provide new insight into the relationship between organization and efficiency in international insurance markets. We are the first to empirically test the expense preference hypothesis and the...

We analyze the efficiency of non-life insurance companies in four of the fastest-growing markets in the world—the BRIC (Brazil, Russia, India, China) countries. An innovative feature of this paper is its incorporation of uncontrollable variables in the efficiency analysis using multi-stage...