The paper deals with Alternative Risk Transfer (ART) through securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described including methods of their pricing and real examples (e.g. CATM bonds, longevity bonds, mortality forwards and futures, mortality swaps, and others). Hypothetical calculations ...

Using a variety of different definitions of “neutrality,” this study presents significant evidence against the neutrality to market risk of hedge funds in a range of style categories. I generalize standard definitions of “market neutrality,” and propose five different neutrality concepts. I suggest statistical tests for each neutrality concept, and apply these tests to a database of monthly ret...

This article examines institutions’ investment strategies towards environmental and social (E&S) stocks in the first quarter of 2020, coinciding with COVID-19 pandemic outbreak. Backed both institutional- firm-level analyses, we find that institutional investors shift higher E&S performance. The high portfolios exhibit lower risk return characteristics, outperforming (underperforming) t...

This paper studies the efficiency of competitive equilibria in economies where the expansion of investment is facilitated by securitization. We show that the use of securitization is generally associated with constrained inefficient aggregate investment, thereby justifying regulatory intervention in markets for securitized assets. We examine the effectiveness of three policy instruments to addr...

The consensus wisdom of active mutual fund managers, as reflected in their average overand underweighting decisions, contains valuable information about future stock returns. Analyzing a comprehensive sample of active U.S. equity funds 1984—2008, we find that stocks heavily overweighted by active funds outperform their underweighted counterparts by more than 7% per year, after adjustments for t...

We analyze the problem of real optimal asset allocation for a pension fund maximising the expected CRRA utility of its real disposable wealth. The financial horizon of the analysis coincides with the random death time of a representative subscriber. We consider a very general setting where there exists a stochastic investment opportunity set together with stochastic contributions and pensions a...

We show that a mutual fund’s stock selection skill can be decomposed into additional components that include liquidity-absorbing impatient trading and liquidity provision. We find that past performance predicts future performance better among funds trading in stocks affected more by information events: Past winners earn a risk-adjusted after-fee excess return of 35 basis points per month in the...

We find significant relations between active mutual fund portfolio holdings and executive compensation, which appear to be largely driven by mutual fund investment styles rather than monitoring behaviour. Aggressive growth fund holdings are associated with performance pay, while income fund holdings are negatively related. We also find that mutual fund holdings are insensitive to changes in exe...

Abstract We report on the detection of a large, extended H i cloud complex in Galaxy and Mass Survey G23 field, located at redshift z ∼ 0.03, observed as part MeerKAT Habitat Galaxies campaign (a pilot survey to explore mosaicing capabilities telescope). The complex, with total mass 10 10.0 M ⊙ , lies proximity large galaxy group dyn 13.5 . identify seven ɪ peak concentrations, interconnected t...

This paper examines the performance and diversification properties of active Australian equity fund-of-funds (FoF). Simulation analysis is employed to examine portfolio performance as a function of the number of funds in the portfolio. The paper finds that as the number of funds in a FoF portfolio increases, performance improves in a mean-variance setting, however measures of skewness and kurto...