For most assets, the capital charge is fixed and known upfront. However, for equities several approaches are possible. For standard equity portfolios the capital charge is high and has a variable component – the symmetric adjustment. For long-term equity portfolios a much lower and fixed capital charge applies, but at the cost of a much more constrained portfolio. Protected equity portfolios use a protective layer via options, which can lead to a capital-adjusted excess return, depending on several factors. We discuss and compare these different approaches to guide an equity investor under Solvency II.
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- Comparing equity investing strategies under Solvency II .pdf • 0,08 MB