The latest
Research

Alternative investments for institutional investors: risk budgeting techniques

This paper, produced by EDHEC Risk and Asset Management Research, presents an empirical analysis of the benefits of alternative forms of investment strategies from an asset-liability management perspective. Using a vector error correction model that explicitly distinguishes between short-term and long-term dynamics in the joint distribution of asset returns and inflation, we identify the presence […]
STAFF WRITERApril 8, 2009
Research

ESG in emerging markets comes of age

Gaining Ground is a report by Mercer, in conjunction with the World Bank’s International Finance Corporation, examining the integration of environmental, social and governance factors into investment processes in emerging markets. It includes the first ever rating on ESG practices in China, India, South Korea and Brazil.
STAFF WRITERApril 8, 2009
Investor Profile

Inflation hedge drives ATP’s investment implementation

Denmark’s largest pension fund and the 29th largest in the world, ATP, is not leaving anything to luck when it comes to providing a guaranteed return for its members. Kristen Paech talks to chief investment officer, Bjarne Graven Larsen, about the various risk management methods the fund has implemented across its portfolio. The DKK400 billion […]
STAFF WRITERApril 8, 2009
Research

Structured products: risk sharing or risk shifting?

In a research paper entitled “Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis” in the latest Financial Analysts Journal, Bruce Jacobs argues that highly complex financial instruments, were devised to shift risk from one part of the financial system to another, but the underlying systematic risk remained. And when magnified by huge amounts […]
STAFF WRITERApril 1, 2009
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