In recent years, life insurers have increased their exposure to socially controversial bonds from alcohol, tobacco, and gaming sectors, which contradicts social-norm constraints of such institutional investors. We show empirically that the practice of investment delegation contributes to the...

Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions, external regulations, and risk capital allocation. However, existing VaR estimation approaches fail to accurately...