To decide the investment policy of a pension fund, a plan sponsor first conducts an asset allocation study and then he/she hires active managers to add active return to the portfolio. In order to seek active return, a plan sponsor must necessarily accept risk. But how much risk does the ...
This paper explores the financial risk that trading strategies seeking to exploit a violation of the UIP condition are exposed to with respect to multivariate tail dependence present in both the funding and investment currency baskets. It will outline in what contexts these portfolio risk exposures ...
The reason why I find this note attractive is because the final coupon payment is 9%. My target return for my Citi after-tax investment portfolio was 2-4X the risk free rate (6 – 10% a year) with relatively low risk given the portfolio size is relatively large. 9% is was within my...
This article investigates a regime-switching investment strategy aimed at mitigating downside risk by reducing market exposure during anticipated unfavorab