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Liew, Jim; Roberts, Ryan - In: Risks : open access journal 1 (2013) 3, pp. 162-175

In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761-782) within the Black and Litterman framework (BL; J. Fixed Income,...

Persistent link: https://www.econbiz.de/10010338334

Do US active mutual funds make good of their ESG promises? : evidence from portfolio holdings

Guidolin, Massimo; Magnani, Monia - In: Risks : open access journal 12 (2024) 2, pp. 1-26

We investigate the occurrence of greenwashing in the US mutual fund industry. Using panel regression methods, we test whether there exist differences in the portfolio investment behaviors of active equity funds that are self-declared to be driven by ESG motives when compared to all other funds....

Persistent link: https://www.econbiz.de/10014497325

Is gold a hedge against stock price risk in U.S. or Indian markets?

Manuj, Hemant - In: Risks : open access journal 9 (2021) 10, pp. 1-15

We study whether gold acts as a hedge or a safe haven in U.S. and the Indian stock markets. These two stock markets have been chosen as representatives of the developed markets and the emerging markets, respectively, and are of significant interest to long-term investors. We apply a linear...

Persistent link: https://www.econbiz.de/10012632191

Participating life insurance products with alternative guarantees : reconciling policyholders' and insurers' interests

Reuß, Andreas; Ruß, Jochen; Wieland, Jochen - In: Risks : open access journal 4 (2016) 2, pp. 1-18

Traditional participating life insurance contracts with year-to-year (cliquet-style) guarantees have come under pressure in the current situation of low interest rates and volatile capital markets, in particular when priced in a market-consistent valuation framework. In addition, such guarantees...

Persistent link: https://www.econbiz.de/10011507240

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634

Optimal portfolio selection in an Itô-Markov additive market

Palmowski, Zbigniew; Stettner, Łukasz; Sulima, Anna - In: Risks : open access journal 7 (2019) 1/34, pp. 1-13

We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into account two sources of risk: the jump diffusion...

Persistent link: https://www.econbiz.de/10012015778

A genetic algorithm for investment–consumption optimization with value-at-risk constraint and information-processing cost

Jin, Zhuo; Yang, Zhixin; Yuan, Quan - In: Risks : open access journal 7 (2019) 1/32, pp. 1-15

This paper studies the optimal investment and consumption strategies in a two-asset model. A dynamic Value-at-Risk constraint is imposed to manage the wealth process. By using Value at Risk as the risk measure during the investment horizon, the decision maker can dynamically monitor the exposed...

Persistent link: https://www.econbiz.de/10012015814

Efficient retirement portfolios : using life insurance to meet income and bequest goals in retirement

Dong, Fangyuan; Halen, Nick; Moore, Kristen; Zeng, Qinglai - In: Risks : open access journal 7 (2019) 1/9, pp. 1-11

Life Insurance Retirement Plans (LIRPs) offer tax-deferred cash value accumulation, tax-free withdrawals (if properly structured), and a tax-free death benefit to beneficiaries. Thus, LIRPs share many of the tax advantages of other retirement savings vehicles but with less restrictive...

Persistent link: https://www.econbiz.de/10012018693

Dealing with drift uncertainty : a Bayesian learning approach

De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: Risks : open access journal 7 (2019) 1/5, pp. 1-18

One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled using two parameters: the drift vector and the covariance matrix, which are both uncertain. Since the variance/covariance parameter is assumed to be estimated with a certain...

Persistent link: https://www.econbiz.de/10012018698

A general framework for portfolio theory, part III, multi-period markets and modular approach

Maier-Paape, Stanislaus; Platen, Andreas; Zhu, Qiji Jim - In: Risks : open access journal 7 (2019) 2/60, pp. 1-31

This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a … general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks … approach, the “modular portfolio theory”, which is built from the interaction among four related modules: (a) multi period …

Persistent link: https://www.econbiz.de/10012018996

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