Category Archive for "Publications"

Risk Letter on Drawdown: From a risk measure to an asset allocation strategy

All investors want to maximize their portfolio’s returns while minimizing their risks. But how should you measure ‘risk’? Standard risk measures, such

Adina Grigoriu will participate to the 13th International Workshop on Pension Insurance and Savings

13th International Workshop on Pension Insurance and Savings – 28-29 May 2015 – University Paris Dauphine.            

Risk Letter on Filtered Historical Simulations (FHS): How do you make your paths?

  A tail-focused asset path simulation technique An important feature of financial markets is that they are highly unpredictable. But despite market

A case study on funding ratio management with a US pension fund

  Active Asset Allocation uses the most advanced actuarial techniques combined with powerful modelling of asset classes behaviour in order to help

Understanding challenges around pension scheme discounting policies

The lively debate around the use of the revised IORP Directive’s Holistic Balance Sheet (HBS) gives us an occasion to provide a

Risk Letter 2 : At the in-efficiency frontier

          At the in-efficiency frontier, by Adina Grigoriu, member of the French Institute of Actuaries This second Active

In defence of pro-cyclicality, by Adina Grigoriu

          Adina Grigoriu asks, is pro-cyclical risk management necessarily a cost – or can it be an unexploited

Direction Retraite – la gestion des risques, source inexploitée de performance

          La gestion des risques, centre de coût ou source inexploitée de performance ? Par Adina Grigoriu, Directeur

Risk Letter 1 : Volatility as a risk measure

          Volatility is the most widespread measure of risk. The reason of its success comes from the fact

Risk Control Through Dynamic Core-Satellite Portfolios of ETFs

        Risk Control through Dynamic Core-Satellite Portfolios of ETFs : Applications to absolute Return Funds and Tactical Asset Allocation.