single intuitive number, defined here as the “crash volatility”, to characterize the true left-tail risk as an alternative to … optimizer to finally “see” the risk effect of the non-Gaussian distribution. An example using Amaranth's returns before it lost … -71% in September, 2006 illustrates how these new techniques caught a much higher level of risk lurking in the data …

investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

Inter-temporal risk parity is a strategy that rebalances risky assets and cash in order to target a constant level of … ex-ante risk over time. When applied to equities and compared to a buy-and-hold portfolio it is known to improve the … Sharpe ratio and reduce drawdowns. We apply inter-temporal risk parity strategies to factor investing, namely value and …

Inter-temporal risk parity is a strategy which rebalances between a risky asset and cash in order to target a constant … level of risk over time. When applied to equities and compared to a buy and hold strategy it is known to improve the Sharpe … ratio remains constant over time, the only benefit would arise from an inter-temporal risk diversification effect which is …

This paper examines the exposures of low-volatility portfolios to various sources of systematic risk. Our analysis … includes interest rate, implied volatility, liquidity, commodity, sentiment, macroeconomic, and climate risk factors. We find … that low-volatility portfolios lower the exposure to all significant drivers of systematic risk. The risk reductions vary …

systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …

managers have access to a financial market consisting of a risk-free asset, a risky asset, and an inflation-linked index bond …. The risky asset's price process and uncontrollable random liabilities are not only affected by the inflation risk but also …