Working Paper 15.09.2020 Retirement Savings: The Tax Issue

Providing for retirement is a prominent motivation for saving.

More > 10 minutes
  • 24
Working Paper 4.10.2018 Tail Risk Adjusted Sharpe Ratio

The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration of risk is reduced to returns volatility.

More > 10 minutes
Working Paper 14.06.2016 Asset Allocation under (one's own) Sovereign Default Risk

The Greek drama of the late 2000s has returned sovereign risk awareness to centre stage.

More > 10 minutes
Working Paper 14.01.2015 Option Pricing under Skewness and Kurtosis using a Cornish Fisher Expansion

This paper revisits the pricing of options, in a context of financial stress, when the underlying asset’s returns displays skewness and excess kurtosis.

More > 10 minutes
  • 10
Working Paper 16.12.2014 Modelling Tail Risk in a Continuous Space

Non normal distributions are a fact of life. In the financial world, many distributions display tail risk, i.e. (negative) skewness and excess kurtosis.

More > 10 minutes
  • 11
Working Paper 15.12.2011 The Management of Retirement Savings revisited

More > 10 minutes

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