We study constant proportion portfolio insurance (CPPI), a dynamic strategy that maintains
the portfolio's risk exposure a constant multiple of the excess of wealth over a floor, up to a …

We investigate asset-allocation strategies open to members of defined-contribution pension
plans with a model that incorporates asset, salary (labour-income) and interest-rate risk. We …

praise for FISCHER BLACK AND THE REVOLUTIONARY IDEA OF FINANCE" The story of
Fischer Black.... is remarkable both because of the creativity of the man and because of the …

We estimate values-at-risk (VaR) in the accumulation phase of defined-contribution pension
plans. We examine a range of asset-return models (including stationary moments, regime …

This paper discusses the modelling and control of pension funds. A continuous-time
stochastic pension fund model is proposed in which there are n risky assets plus the risk …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

Portfolio insurance strategies are used on both the institutional and the retail side of the
asset management industry. While standard utility theory struggles to provide an …

In this study, we perform a comparative analysis of portfolio insurance strategies for the
cryptocurrency market. We examine performance evaluation regarding the various …

This paper describes a stochastic programming model that was developed for asset liability
management of a Finnish pension insurance company. In many respects the model …

We forecast portfolio risk for managing dynamic tail risk protection strategies, based on
extreme value theory, expectile regression, copula‐GARCH and dynamic generalized …