"investment styles" (obtained by combining multiple equity and fixed-income benchmarks, using Sharpe's (1992) technique) and their …

demonstrate that the actual driver and therefore sufficient condition for a Rebalancing Bonus is the presence of relative mean …

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 … managed-volatility for pooled annuity funds. We show how the managed volatility strategy improves investment performance …

form of a guarantee or margin (similar to net worth). We estimate realized returns from passive investment strategies, by …

We study the profitability of optimal mean reversion trading strategies in the US equity market. Different from regular … the mean-reverting process before trading. We then generate contrarian trading signals using the model parameters. We also …

This paper highlights the use of a new strategic approach within a quantitative investment methodology in the context …