• Corpus ID: 246285554

Fat Tails and Optimal Liability Driven Portfolios

@inproceedings{Rosenzweig2022FatTA,
  title={Fat Tails and Optimal Liability Driven Portfolios},
  author={Jan Rosenzweig},
  year={2022}
}
We look at optimal liability-driven portfolios in a family of fat-tailed and extremal risk measures, especially in the context of pension fund and insurance fixed cashflow liability profiles, but also those arising in derivatives books such as delta one books or options books in the presence of stochastic volatilities. In the extremal limit, we recover a new tail risk measure, Extreme Deviation (XD) , an extremal risk measure significantly more sensitive to extremal returns than CVaR. Resulting… 

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