We study a concept of dynamic leverage which is a risk measure generalizing traditional value at risk type measures. This measure is suited for hedge funds and can be applied to quantify risk in a fund of hedge funds. Dynamic leverage depends on the level of fund volatility, time horizon and...

Generalized unexpected raise in life expectancy is a source of aggregate risk. Longevity‐linked securities are a natural instrument to reallocate these risks by making them tradeable in the financial market. This paper extends the Campbell and Viceira (2005) strategic asset allocation model...

Current research on sustainable property investment focuses mainly on property-level profitability of green buildings along with the development and implementation of eco-certifications. A second strand of studies investigates the company-level financial implications of corporate social...

In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...

Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model without factors, but with a continuum of securities...

The term structure of equity risk has been shown to be downward sloping. We capture this feature using return dynamics driven by both a transitory and a permanent component. We study the asset allocation and portfolio performance when transitory and permanent components cannot be observed and...

In this paper, I develop a model in which risk-averse investors possess private information regarding both a stock's expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk. In equilibrium, the derivative is used to speculate...

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

We develop a dynamic valuation model of the hedge fund seeding business by solving the consumption and portfolio-choice problem for a risk-averse manager who launches a hedge fund through a seeding vehicle. This vehicle, i.e. fees-for-seed swap, specifies that a strategic partner (seeder)...