Our research project analyses the suitability of social responsible investments (SRI) and alternative asset classes (in particular commodities, hedge fund in-vestments, high-yield bonds) for the portfolio management of German Pension Insurance Funds (Pensionskassen), the largest external...

We examine the private information associated with insider trades using a Chinese data set. Insider buys positively forecast individual stock returns and insider sales negatively forecast individual stock returns. Classifying insiders as corporate managers and institutional investors, we find...

On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...

We investigate the relationship between a mutual fund’s variation in systematic risk factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)’s four factor model to capture risk factor variation, we find that funds with volatile risk factor exposures...

Factor cyclicality can be understood in the context of factor sensitivity to aggregate cash-flow news. Factors exhibit different sensitivities to macroeconomic risk, and this heterogeneity can be exploited to motivate dynamic rotation strategies among five commonly established factors: size,...

Industrialised economies are experiencing a decline in mortality alongside low fertility rates - a situation that puts social security systems under severe pressure. Population ageing is associated not only with longer periods of pension claims but also smaller cohorts eventually entering the...

This work considers stochastic models of defined benefit pension plans. Stochastic growth rate of salary, and stochastic mortality is allowed to evaluate pension plan. Especially important thing is that based on Momon (2004), we extend Vasicek model to multi-dimentional cases and use it to mode...

Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best...