Did the Basel Process of Capital Regulation Enhance the Resiliency
... Notably, Eberlein and Keller (1995) demonstrate that hyperbolic Levy processes track real world market data far better than Gaussian processes. Building on this insight Eberlein et al. (1998) determine value-at-risk estimates and demonstrate that they tend to be much larger than under normality assu ...
... Notably, Eberlein and Keller (1995) demonstrate that hyperbolic Levy processes track real world market data far better than Gaussian processes. Building on this insight Eberlein et al. (1998) determine value-at-risk estimates and demonstrate that they tend to be much larger than under normality assu ...
Understanding Your Choices - FieldNet
... policy and for nine years following a face increase. Those charges may decrease the value of the policy substantially depending on how early the policy, or any portion of it, is surrendered or accessed. While the policy allows for access to the account value in the short-term, through loans and with ...
... policy and for nine years following a face increase. Those charges may decrease the value of the policy substantially depending on how early the policy, or any portion of it, is surrendered or accessed. While the policy allows for access to the account value in the short-term, through loans and with ...
SAST - SA Legg Mason BW Large Cap Value
... circumstances, investing at least 80% of its net assets in equity securities of large capitalization companies. Large capitalization companies are those with market capitalizations similar to companies in the Russell 1000® Value Index (the “Index”). As of March 31, 2017, the median market capitaliza ...
... circumstances, investing at least 80% of its net assets in equity securities of large capitalization companies. Large capitalization companies are those with market capitalizations similar to companies in the Russell 1000® Value Index (the “Index”). As of March 31, 2017, the median market capitaliza ...
Book-introduction to derivatives
... Market Risk. The possibility that stocks or fixed income prices overall will decline over short or even extended periods. Stock and bond markets tend to move in cycles, with periods when prices rise and other periods when prices fall. Principal Risk. The possibility that an investment will go down ...
... Market Risk. The possibility that stocks or fixed income prices overall will decline over short or even extended periods. Stock and bond markets tend to move in cycles, with periods when prices rise and other periods when prices fall. Principal Risk. The possibility that an investment will go down ...
Longevity risk - Andrei Simonov
... of bond set at 20 basis points. Given that this is first ever bond brought to market, markets have no real feeling as to how fair this figure is. However, concern that up-front capital was too large compared with risks being hedged by bond: – longevity and interest rate risks ...
... of bond set at 20 basis points. Given that this is first ever bond brought to market, markets have no real feeling as to how fair this figure is. However, concern that up-front capital was too large compared with risks being hedged by bond: – longevity and interest rate risks ...
Key Investor Information
... the name of which is at the top of this document. The prospectus and periodic reports are prepared for the entire umbrella fund. To protect investors, the assets and liabilities of each compartment are segregated by law from those of other compartments. Switches: Subject to conditions, you may apply ...
... the name of which is at the top of this document. The prospectus and periodic reports are prepared for the entire umbrella fund. To protect investors, the assets and liabilities of each compartment are segregated by law from those of other compartments. Switches: Subject to conditions, you may apply ...
Predictability of Future Index Returns based on the 52 Week High
... the models while the intercept αp represents the risk adjusted abnormal returns of the portfolios analysed by that model over the estimation period. The t-values corresponding to the regression coefficients are corrected for heteroskedasticity using the White (1980) test. The test to determine wheth ...
... the models while the intercept αp represents the risk adjusted abnormal returns of the portfolios analysed by that model over the estimation period. The t-values corresponding to the regression coefficients are corrected for heteroskedasticity using the White (1980) test. The test to determine wheth ...
investing for charitable good
... • Asset allocation— The asset allocation decision (how much of the portfolio should go into stocks, bonds, cash, real estate, commodities, socially responsible investments, etc.) remains the primary driver of expected risk and return and should always come first. • Diversification— Whether investi ...
... • Asset allocation— The asset allocation decision (how much of the portfolio should go into stocks, bonds, cash, real estate, commodities, socially responsible investments, etc.) remains the primary driver of expected risk and return and should always come first. • Diversification— Whether investi ...
Optimal asset allocation in a stochastic factor
... portfolio consists of two components. The …rst is the so-called myopic portfolio and has the same functional form as the one in the classical Merton problem. The second component, usually referred to as the excess hedging demand, is generated by the stochastic factor. Conceptually, very little is un ...
... portfolio consists of two components. The …rst is the so-called myopic portfolio and has the same functional form as the one in the classical Merton problem. The second component, usually referred to as the excess hedging demand, is generated by the stochastic factor. Conceptually, very little is un ...
perspectives on dynamic asset allocation
... The PSP building block relates to the diversification concept of the framework, which is theoretically constructed as a portfolio with the highest possible Sharpe ratio for the next short-term review period. In practice, however, the situation is more complex. For instance, it is not always clear if ...
... The PSP building block relates to the diversification concept of the framework, which is theoretically constructed as a portfolio with the highest possible Sharpe ratio for the next short-term review period. In practice, however, the situation is more complex. For instance, it is not always clear if ...
1 New Evidence on Sources of Leverage Effects in Individual Stocks
... Abstract I test Black’s leverage effect hypothesis on a panel of U.S. stocks from 1997 to 2012. I find that negative stock return innovations increase the future volatility of equity returns by about 36% more than positive ones. There is a strong and positive relation between variation in the size o ...
... Abstract I test Black’s leverage effect hypothesis on a panel of U.S. stocks from 1997 to 2012. I find that negative stock return innovations increase the future volatility of equity returns by about 36% more than positive ones. There is a strong and positive relation between variation in the size o ...
Are Workers' Enterprises entry policies conventional
... LR: option value to wait is zero (i.e. fwE = 0). However, by the infinite elasticity of demand, the optimal entry trigger (6) is not altered (Leahy, 1993, Dixit and Pindyck, 1994, ...
... LR: option value to wait is zero (i.e. fwE = 0). However, by the infinite elasticity of demand, the optimal entry trigger (6) is not altered (Leahy, 1993, Dixit and Pindyck, 1994, ...
Tail Risk Hedging: A Roadmap for Asset Owners
... hedging desired. Is the hedge to be placed at the single instrument level (e.g., too much Microsoft exposure), theme/sector level (e.g., too much exposure to tech), asset class level (e.g., too much Beta to S&P 500), or portfolio level (e.g., too much exposu ...
... hedging desired. Is the hedge to be placed at the single instrument level (e.g., too much Microsoft exposure), theme/sector level (e.g., too much exposure to tech), asset class level (e.g., too much Beta to S&P 500), or portfolio level (e.g., too much exposu ...
Investment and Spending Policy Community Colleges of New
... explicit restriction on the holding of cash equivalents. The custodian bank short-term investment fund (“STIF”) is an allowed investment, as are other cash equivalents, provided they carry an S&P rating of at least A1 or an equivalent rating. Equity Investments The purpose of the equity allocation ( ...
... explicit restriction on the holding of cash equivalents. The custodian bank short-term investment fund (“STIF”) is an allowed investment, as are other cash equivalents, provided they carry an S&P rating of at least A1 or an equivalent rating. Equity Investments The purpose of the equity allocation ( ...
My LV= Pension Plan Mixed Asset Fund Fund Factsheet 4th Quarter
... exceed any growth meaning you could get back less than you invest. Cautious Managed These funds will hold investments in shares and other non-money market investments so there may be potential risk to the amount you invest. You are looking for an investment where the return over the long term is exp ...
... exceed any growth meaning you could get back less than you invest. Cautious Managed These funds will hold investments in shares and other non-money market investments so there may be potential risk to the amount you invest. You are looking for an investment where the return over the long term is exp ...
Timing “Smart Beta” Strategies? Of Course! Buy Low, Sell High!
... valuations are rarely noticed in the data mining so pervasive throughout the finance community.2 For some factors, such as low beta, we show that most or all past performance was revaluation alpha, which could easily reverse from current valuation levels. For smart beta strategies, the picture is a ...
... valuations are rarely noticed in the data mining so pervasive throughout the finance community.2 For some factors, such as low beta, we show that most or all past performance was revaluation alpha, which could easily reverse from current valuation levels. For smart beta strategies, the picture is a ...
NBER WORKING PAPER SERIES RISK AVERSION AND OPTIMAL PORTFOLIO POLICIES IN
... also study a heterogeneous-agent general equilibrium model with portfolio constraints where the heterogeneity arises from differences in beliefs rather than differences in risk aversion (all agents have log utility); they show that some of their results on pricing would extend to an economy where agen ...
... also study a heterogeneous-agent general equilibrium model with portfolio constraints where the heterogeneity arises from differences in beliefs rather than differences in risk aversion (all agents have log utility); they show that some of their results on pricing would extend to an economy where agen ...
research on market efficiency - Securities Class Action Clearinghouse
... by presenting evidence challenging actual reliance or market efficiency. Based on the evidence presented, the court then decides whether or not the matter can legitimately proceed as a class action. A class certification hearing is not a trial on the merits and is often conducted before full discove ...
... by presenting evidence challenging actual reliance or market efficiency. Based on the evidence presented, the court then decides whether or not the matter can legitimately proceed as a class action. A class certification hearing is not a trial on the merits and is often conducted before full discove ...
Challenging traditional attitudes towards investment risk and
... progressively longer, this risk becomes more of a threat. This risk can be reduced by accumulating a bigger pot: either by saving more or by investing in assets that generate better returns – or a combination of the two8. Inflation Risk – This is the risk of prices rising faster than the value of th ...
... progressively longer, this risk becomes more of a threat. This risk can be reduced by accumulating a bigger pot: either by saving more or by investing in assets that generate better returns – or a combination of the two8. Inflation Risk – This is the risk of prices rising faster than the value of th ...
optimal investment for an insurer to minimize its probability of ruin
... risky asset is modeled by a geometric Brownian motion (see also Browne 1997, 1999). The compound Poisson model is the most popular model in risk theory; Hipp and Taksar (2000) use it in modeling the insurance business and consider the problem of optimal choice of new business to minimize the infinit ...
... risky asset is modeled by a geometric Brownian motion (see also Browne 1997, 1999). The compound Poisson model is the most popular model in risk theory; Hipp and Taksar (2000) use it in modeling the insurance business and consider the problem of optimal choice of new business to minimize the infinit ...
Opportunistic Deep-Value Investing: A Multi-Asset Class
... We broadly define potential deep-value investments as those with the following attributes: 1. The potential investment is significantly cheap with respect to long-term (five to 10 years or more) historical valuation levels when compared to itself, peer asset classes, or the broader market. 2. The po ...
... We broadly define potential deep-value investments as those with the following attributes: 1. The potential investment is significantly cheap with respect to long-term (five to 10 years or more) historical valuation levels when compared to itself, peer asset classes, or the broader market. 2. The po ...
Integrated Approach to Managing Risk and
... one of the most important challenges for banks in today’s competitive environment. Recently, we have seen that the integration of global markets, specifically the European markets, has led to higher market volatility and increased competition, with a greater demand from customers and more competitiv ...
... one of the most important challenges for banks in today’s competitive environment. Recently, we have seen that the integration of global markets, specifically the European markets, has led to higher market volatility and increased competition, with a greater demand from customers and more competitiv ...
Emerging Market Finance
... (esp. Taiwan and India (e.g. Infosys on NASDAQ often trades at a 30% premium to Mumbai SE)) ...
... (esp. Taiwan and India (e.g. Infosys on NASDAQ often trades at a 30% premium to Mumbai SE)) ...
Gideon I: the FTC equity strategy
... As promised, FTC’s trend-following fund-of-funds strategy has survived the crisis months on the world markets since 2008 much better in comparison with conventional equity funds. Since February 2009, FTC has been applying an additional longshort overlay in Gideon I. Read this issue of FTC.update to ...
... As promised, FTC’s trend-following fund-of-funds strategy has survived the crisis months on the world markets since 2008 much better in comparison with conventional equity funds. Since February 2009, FTC has been applying an additional longshort overlay in Gideon I. Read this issue of FTC.update to ...
Beta (finance)
In finance, the beta (β) of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1. A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market. An example of the first is a treasury bill: the price does not go up or down a lot, so it has a low beta. An example of the second is gold. The price of gold does go up and down a lot, but not in the same direction or at the same time as the market.A beta greater than one generally means that the asset both is volatile and tends to move up and down with the market. An example is a stock in a big technology company. Negative betas are possible for investments that tend to go down when the market goes up, and vice versa. There are few fundamental investments with consistent and significant negative betas, but some derivatives like equity put options can have large negative betas.Beta is important because it measures the risk of an investment that cannot be reduced by diversification. It does not measure the risk of an investment held on a stand-alone basis, but the amount of risk the investment adds to an already-diversified portfolio. In the capital asset pricing model, beta risk is the only kind of risk for which investors should receive an expected return higher than the risk-free rate of interest.The definition above covers only theoretical beta. The term is used in many related ways in finance. For example, the betas commonly quoted in mutual fund analyses generally measure the risk of the fund arising from exposure to a benchmark for the fund, rather than from exposure to the entire market portfolio. Thus they measure the amount of risk the fund adds to a diversified portfolio of funds of the same type, rather than to a portfolio diversified among all fund types.Beta decay refers to the tendency for a company with a high beta coefficient (β > 1) to have its beta coefficient decline to the market beta. It is an example of regression toward the mean.