Diversification is a core concept in Asset Management. Yet diversification can mean different things to different people and there no consensus on how it is measured nor is there a broadly accepted metric for reporting of diversification. Sometimes, there is confusion in understanding...

In this paper we propose a new risk decomposition technique. Taking an example of a portfolio of assets that can be decomposed into sub portfolios and also represented using a factor model, investment professionals have access to tools that can represent risk from three different perspectives...

In the wide panorama of investment strategies, the Liability-Driven one aims at creating an optimal portfolio by beating a chosen liability. In this paper we will extend the problem by considering as utility function, to be maximized, the joint probability that the Funding Ratio is above a...