Two Fong-Vasicek immunization results are discussed and applied in relation to asset portfolios of a sample of Italian insurance companies managing life insurance with-profit savings. Firstly, we analyzed the contribution of Fong and Vasicek (1984) providing a lower bound on the “shortfall”...

Using simple definitions and relations, portfolio returns are related to price and quantity movements. The case of self-financing portfolios is considered and the two special cases of "buy and hold" and "constant mix" strategies are analyzed

In this paper we define and compare versions of the robust and non robust portfolio selection models based on the use, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of asymmetries in distribution of yields, and in profits and...

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...