, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure … 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 …

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 …

significantly, when an inter-temporal risk parity strategy is applied. Volatility clustering and fat tails are behind this …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 …

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 … volatility clustering with constant returns and the fat tails are the two effects with the largest explanatory power. The results …

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 …

-especially volatility and illiquidity shocks-over the subprime crisis in order to investigate their market timing activities. In a … 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 …

preferences. Full insurance cannot be rejected. As the risk-sharing as-if-complete-markets theory might predict, estimated risk …We show how to use panel data on household consumption to directly estimate households’ risk preferences. Specifically …, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we …

Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized … compared with a buy-and-hold benchmark, on average, but with some variation. Managed volatility strategies achieve robust tail-risk … volatility stabilization mechanism. We illustrate them via utility-based metrics that reward the tail-risk reduction emanating …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …