Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.

Description: The goal of this paper is to examine similarities between value investing and enterprise risk management (ERM) methods.

Description: This session from the 2003 SOA Orlando Meeting provides an overview of how insurers, pension plans and other institutional investors measure and report manager performance, the benchmarks used and capital at risk CAR. From the Record of the Society of Actuaries, Volume 29, No. 3.

Description: The goal of this paper is to examine similarities between value investing and enterprise risk management (ERM) methods.

Description: The Society of Actuaries’ Pension Section Research Committee commissioned this study to help actuaries develop forward thinking long-term estimates of future equity risk premiums. Equity risk premium is the amount by which the total return of a stock market index, such as the S&P 500, exceeds that of government bonds. Equity risk premiums, calculated from historical data, have been used to project long term values of equity portfolios in retirement plans. The validity of using historical data to project future equity returns will be examined along with other forward looking methods.

Description: Feature article discussing the PBGC’s asset reallocation plan.

Description: This presentation at the SOA 1990 Annual Meeting offers financial market perspectives on volatility, responses to volatility, new financial products, risk and performance.

Description: This article provides a retrospective on investment risk management while highlighting actuarial tools used by portfolio risk managers.

Description: This teaching session presented at the April 1976 meeting in Washington D.C. provides a brief outline and a bibliography related to Portfolio Theory and Investment Policy.

Description: A research report providing a primer on the mechanics and uses of the Hidden Markov Model for actuarial and financial applications.