New Risk Measure VAR Squared (VAR (2)) and its Calculation Part Ii: Case of the General Law of Allocation of Damages. Comparison of VAR (2) and Es

2020 ◽  
Author(s):  
Vigen Babkenovich Minasyan
Keyword(s):  
Risk Measure ◽  
General Law

scholarly journals Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle

Risks ◽  
2016 ◽  
Vol 4 (4) ◽  
pp. 50 ◽  
Author(s):  
Mi Chen ◽  
Wenyuan Wang ◽  
Ruixing Ming
Keyword(s):  
Risk Measure ◽  
Convex Risk Measure ◽  
Optimal Reinsurance ◽  
General Law

On Modern Scientific Assessment of the Economic Theory of Marx-Engels-Lenin (Ten Items for Reflection)

2004 ◽  
pp. 111-130 ◽  
Author(s):  
V. Kudrov
Keyword(s):  
Economic Theory ◽  
Surplus Value ◽  
Scientific Assessment ◽  
General Law

Substantive provisions of the Marx-Engels-Lenin economic theory in comparison with vital realities of XX century are critically considered in the article. Theories of surplus value, labor value, general law of capitalist accumulation, absolute and relative impoverishment of proletariat are examined. The author points to utopianism and inconsistency of Marx's theory and calls Russian economists for creation of new economic theory adequate to challenges of XXI century.

OHM'S LAW IS THE GENERAL LAW OF EXACT SCIENCES

2016 ◽  
Vol 72 (7) ◽  
Author(s):  
Alexander Alexandrovich Antonov
Keyword(s):  
Ohm’S Law ◽  
General Law ◽  
Ohm's Law

Portfolio Return, Risk and Market Timing: A Non-Parametric Approach

2015 ◽  
Vol 5 (2) ◽  
Author(s):  
Joyjit Dhar ◽  
Ram Pratap Sinha
Keyword(s):  
Risk Measure ◽  
Market Timing ◽  
Evaluation Framework ◽  
Data Envelopment ◽  
Portfolio Evaluation ◽  
Period 2 ◽  
Measure Of Performance ◽  
Standard Risk ◽  
Portfolio Return ◽  
Non Parametric

The present study extends the portfolio evaluation framework provided by Sharpe (1964) and Treynor (1965) by including the parameter of market timing with the help of a non-parametric framework. Data envelopment analysis has been used in the present exercise to evaluate the performance 79 mutual funds schemes operating in India for three different phases using two different models. Estimation of technical efficiency on the basis of both the models suggests that period 2 performance is substantially divergent from period 1 and 3. Also, higher moments framework gives a better measure of performance as it accounts not only the standard risk measure but also for skewness and kurtosis characteristics of returns.

Risk Management Optimization for Sovereign Debt Restructuring

2015 ◽  
Vol 6 (2) ◽  
Author(s):  
Andrea Consiglio ◽  
Stavros A. Zenios
Keyword(s):  
Risk Management ◽  
Scenario Analysis ◽  
Sovereign Debt ◽  
Risk Measure ◽  
Policy Tools ◽  
Debt Restructuring ◽  
Tail Risk ◽  
Debt Sustainability ◽  
Scenario Optimization ◽  
Management Optimization

AbstractDebt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The scenario dynamics of debt-to-GDP ratio are used to define a tail risk measure, termed

scholarly journals Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits

Risks ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 60
Author(s):  
Cláudia Simões ◽  
Luís Oliveira ◽  
Jorge M. Bravo
Keyword(s):  
Interest Rate ◽  
Yield Curve ◽  
Risk Measure ◽  
Management Strategies ◽  
Interest Rate Risk ◽  
Insurance Companies ◽  
Retirement Income ◽  
Investment Strategies ◽  
Immunization Strategies ◽  
The Impact

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional and private investors must solve when managing post-retirement income benefits. This paper empirically investigates the performance of alternative immunization strategies for funding targeted multiple liabilities that are fixed in timing but random in size (inflation-linked), i.e., that change stochastically according to consumer price or wage level indexes. The immunization procedure is based on a targeted minimax strategy considering the M-Absolute as the interest rate risk measure. We investigate to what extent the inflation-hedging properties of ILBs in asset liability management strategies targeted to immunize multiple liabilities of random size are superior to that of nominal bonds. We use two alternative datasets comprising daily closing prices for U.S. Treasuries and U.S. inflation-linked bonds from 2000 to 2018. The immunization performance is tested over 3-year and 5-year investment horizons, uses real and not simulated bond data and takes into consideration the impact of transaction costs in the performance of immunization strategies and in the selection of optimal investment strategies. The results show that the multiple liability immunization strategy using inflation-linked bonds outperforms the equivalent strategy using nominal bonds and is robust even in a nearly zero interest rate scenario. These results have important implications in the design and structuring of ALM liability-driven investment strategies, particularly for retirement income providers such as pension schemes or life insurance companies.

scholarly journals Grading Investment Diversification Options in Presence of Non-Historical Financial Information

Mathematics ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 692
Author(s):  
Clara Calvo ◽  
Carlos Ivorra ◽  
Vicente Liern ◽  
Blanca Pérez-Gladish
Keyword(s):  
Risk Measure ◽  
Statistical Information ◽  
Expected Returns ◽  
Financial Assets ◽  
Expected Return ◽  
Additional Information ◽  
Subjective Risk ◽  
The Impact ◽  
Statistical Risk ◽  
Reduction Index

Modern portfolio theory deals with the problem of selecting a portfolio of financial assets such that the expected return is maximized for a given level of risk. The forecast of the expected individual assets’ returns and risk is usually based on their historical returns. In this work, we consider a situation in which the investor has non-historical additional information that is used for the forecast of the expected returns. This implies that there is no obvious statistical risk measure any more, and it poses the problem of selecting an adequate set of diversification constraints to mitigate the risk of the selected portfolio without losing the value of the non-statistical information owned by the investor. To address this problem, we introduce an indicator, the historical reduction index, measuring the expected reduction of the expected return due to a given set of diversification constraints. We show that it can be used to grade the impact of each possible set of diversification constraints. Hence, the investor can choose from this gradation, the set better fitting his subjective risk-aversion level.

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