risk aggregation. The so-called "square-root formula" uses correlation parameters between, for example, market risk, non …-life insurance risk and default risk to determine the company's aggregate capital requirement. To support decision-making, companies … will allocate the required capital back to business segments and risk drivers. We demonstrate that capital allocations …

risk/return information had a statistically significant effect on allocation decisions, but the practical significance is … independent of the risk characteristics of the investment options: the first and last investment options presented tend to receive …The aim of this study was to understand the potential effects of different information disclosures regarding risk on …

differ in their degree of cyclicality, and hence, exposure to aggregate risk, leading to firm-specific risk premia that … total factor productivity (TFP) is endogenous and depends on the resource allocation. The model uncovers a novel tradeoff … productive allocation of resources and so depressed TFP and output …

In this paper we introduce the notion of themes as an additional investment dimension beyond asset classes, regions …, sectors and styles, and we propose a framework to allocate to thematic investments at a strategic asset allocation level. The … are not only exposed to the theme but also to the traditional risk factors. Our approach to allocating to thematic …

differ in their degree of cyclicality, and hence, exposure to aggregate risk, leading to firm-specific risk premia that … total factor productivity (TFP) is endogenous and depends on the resource allocation. The model uncovers a novel tradeoff … productive allocation of resources and so depressed TFP and output …