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Open access Aug 2026

AN EMPIRICAL STUDY OF BOND PORTFOLIO IMMUNIZATION EFFECTIVENESS DURING 2008 GLOBAL FINANCIAL CRISIS

Immunization is a strategy that matches the duration of assets and liabilities to minimize the impact of interest rate changes. This can be achieved using Redington’s conditions. This paper addresses a gap in the existing literature: while prior immunization studies typically evaluate performance under stable market co...

S. Padma Annakamu · 0 citations
Open access Aug 2026

A Monte Carlo Simulation Approach to Assessing the Risk-Return Trade-off in ESG Investment Portfolios

This study asks whether environmental, social, and governance (ESG) screening changes the risk-return profile of an Indian large-cap equity portfolio. The Nifty 100 ESG index is compared with its unscreened parent, the Nifty 100, so the only systematic difference is the ESG screen and reweighting applied to a common co...

Vasudha Srivatsa, Bhavya Vikas · 0 citations
Open access Sep 2026

RIDING THE DOLLAR TIDE: RISK-MANAGEMENT STRATEGIES AND FINANCIAL PERFORMANCE OF BRAZILIAN AGRIBUSINESS EXPORTERS AMID EXCHANGE-RATE VOLATILITY

This study examines how exchange-rate fluctuations, through both asset-side and liability-side exposures, affect the accounting-based performance of Brazilian agribusiness firms listed on B3 over 2020-2025. The analysis draws on a representative sample of 11 firms selected from an updated sector population and evaluate...

R. Lima · 0 citations
Open access Sep 2026

Reinsurance as a Mechanism for Optimizing Capital Requirements Under the Solvency II Regime: An Empirical Analysis of a Ten-Year Insurance Portfolio

The Solvency II regulatory framework (Directive 2009/138/EC) defines the Solvency Capital Requirement (Solvency Capital Requirement, SCR) using a value-at-risk (VaR) approach, with a confidence level of 99.5% and a one-year time horizon. This structure makes regulatory capital extremely sensitive to the characteristics...

R. Vazov, Zhelyo Hristozov · 0 citations
Open access Sep 2026

Robustness of CVaR-Minimizing Dynamic Allocation: Evidence from Multi-Asset Portfolios Through 2025

Traditional risk parity approaches rely largely on volatility measures, which may not fully capture asymmetric risk profiles. This study examines a dynamic allocation approach that minimizes portfolio-level Conditional Value-at-Risk (CVaR). The CVaR-Minimizing Dynamic Allocation (CVaR-DA) approach is intended to manage...

Veraphong Chutipat, Peerapat Wattanasin, Tanpat Kraiwanit · 0 citations
Open access Jul 2026

Evaluation of individual stock portfolio performance on the Indonesia stock exchange using the Ortiz, Jorion, and Markowitz approaches

Background: Indonesia's capital market has experienced a sustained increase in investor participation, creating a stronger need for systematic and implementable portfolio construction methods. This study evaluates estimation risk in mean-variance optimization by comparing traditional Markowitz optimization with two mea...

Enggal Dwi Mulyaningtyas, R. Rokhim · 0 citations

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