governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To … respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of …

This paper describes a methodology extension for decomposing non-linear portfolio risk by fund manager which we refer … to as "Manager Component Value-at-Risk." The approach is well suited to funds holding any asset class or instrument type … and thus is well suited for decomposing risk by manager. We provide an example from a representative CTA portfolio that …

We investigate the relationship between idiosyncratic risk and return among four water exchange traded funds … the idiosyncratic risk for most of the exchange traded funds move from low volatility (Regime 2) to very low volatility … seems that water investment has a lower systematic risk and a positive effect on the water exchange traded index funds …