This article extends the parametric portfolio policy approach to optimizing portfolios with a large numbers of assets (Brandt, et al. 2009). The proposed approach incorporates unobserved effects into the portfolio policy function. These effects measure the importance of unobserved heterogeneity...

This paper assesses the sensitivity of solvency stress testing results to the choice of credit risk variable and level of data aggregation at which the stress test is conducted. In practice, both choices are often determined by technical considerations, such as data availability. Using data for...