The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for investors who wish to invest in the global minimum...

In contrast with existing literature that focuses on conditional Value-At-Risk (CVaR) as a portfolio risk measure, we examine here the properties of portfolios built to minimize CVaR. We look into the stability and performance potential of CVaR-optimal portfolios and compare our results with...

We present a stock selection methodology that maximizes the expected returns of equity portfolios by efficiently managing their exposures to a given ensemble of risk premia, also known as factors. Our approach is mathematically grounded, robust in its design, and applicable in practice. It...

For investors subject to Solvency II regulations, the capital charges and risk associated with holding equities are high. This reduces the appeal of this asset class as an investment of choice for realizing long-term growth objectives. Here we propose a simple risk mitigation technique that...

Efficient and robust techniques are crucial for hedging a book of variable annuities. For insurers, the profitability of variable annuity contracts heavily depend on the hedging schemes used to mitigate their associated financial liabilities. Beyond financial performance, the inclusion of...

This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by Bontemps (2006) to test for the distributional assumption (i.e. the geometric distribution) is applied to the case of the VaR forecasts validity. Using simple J-statistic based on...

The objective of this paper is to propose a market risk measure defined in price event time and a suitable backtesting procedure for irregularly spaced data. Firstly, we combine Autoregressive Conditional Duration models for price movements and a non parametric quantile estimation to derive a...