Liability driven investment with downside risk
We develop a liability driven investment framework that incorporates downside risk penalties
for not meeting liabilities. The shortfall between the asset and liabilities can be valued as an …
for not meeting liabilities. The shortfall between the asset and liabilities can be valued as an …
Use of lower partial moments in the asset allocation process
J Kuzmina - Journal of Business Management, 2011 - journals.riseba.eu
Over the past years before the world financial and economic turbulences, the Baltic States
have been the fastest developing economies in Europe. The Baltic insurance industry (and …
have been the fastest developing economies in Europe. The Baltic insurance industry (and …
[BOOK][B] Three Essays on Asset Pricing
B Chen - 2014 - search.proquest.com
The first essay examines whether risk is explained based on cash flow (CF) or discount rate
(DR). Realized returns comprise (ex-ante) expected returns plus (ex-post) innovations, and …
(DR). Realized returns comprise (ex-ante) expected returns plus (ex-post) innovations, and …
Downside-Restriktionen
P Reichling, G Schulze, P Reichling… - Downside-orientiertes …, 2017 - Springer
Zusammenfassung steht das Portfoliomanagement unter Downside-Restriktionen im
Vordergrund. Hierbei geht es um drei Aspekte: Zunächst sind die Downside-Restriktionen …
Vordergrund. Hierbei geht es um drei Aspekte: Zunächst sind die Downside-Restriktionen …