Optimal Asset Allocation Subject to Withdrawal Risk and Solvency Constraints

This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time. In accounting for the asset-liability mismatch risk of the institution, we present a general utility optimization problem in a discrete-time setting and provide a dynamic programming principle for the optimal investment strategies. Furthermore, we consider an explicit context, including liquidity risk, interest rate, and credit intensity fluctuations, and show by numerical results that the optimal strategy improves both the solvency and asset returns of the institution compared to a standard institutional investor’s asset allocation.

COVID-19 pandemic's effects and telehealth in Early Psychosis Services of Quebec, Canada: Will changes last?

AIM: To explore the impacts of the COVID-19 pandemic first wave in Quebec, Canada on practices in early intervention services (EIS) for first-episode psychosis, including reorganization of clinical and administrative practices and teleconsultation use. METHODS: Adopting a cross-sectional descriptive study design, a 41 questions online survey was sent to the team leaders of all the 33 Quebec EIS, of which 100% responded. Data were collected from 18 May to 4 June 2020 and analysed using descriptive statistics and content analysis. Programmes were categorized as urban/non-urban and results were compared between these. RESULTS: All 33 existing Quebec EIS (16 urban and 17 non-urban) completed the survey. Among them, 85% did not experience redeployment of EIS team staff and 58% reported stable frequency of patient interactions, either in-person or through telemedicine. During the studied period, 64% of programmes reported that all professionals used teleconsultation at least occasionally. However, 73% of programmes, mostly in non-urban areas, reported some limitations regarding clinicians' degree of ease with teleconferencing platforms and half of EIS could not access technical support to use them. The majority of EIS (94%) expressed interest to participate in a training program about the use of technologies for teleconsultations. Many smaller clinics reported interest in offering multiregional/multiclinics group teletherapy, therefore merging their pool of patients and clinical staff workforce. CONCLUSIONS: Further studies are warranted to improve access to and use of technology-mediated treatment, which seems to be a promising alternative to provide high-quality mental healthcare during the COVID-19 pandemic and beyond.

Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis

By matching socially responsible (SR) stock indexes worldwide with their conventional benchmarks, the authors study the resilience of SR investment strategies during the COVID-19 crisis. Overall, SR indexes exhibited dynamics very similar to their benchmarks. The sample is composed of 573 SR stock indexes from MSCI, STOXX, and FTSE. In the first half of 2020, the average daily return was –0.11% for SR indexes and their benchmarks, with annualized volatility of 40% for each. SR indexes remained very close to their benchmarks during both the fever period (February 24–March 20) and the rebound period (March 23–May 29). The financial performance of SR strategies shows substantial heterogeneity, however, with SR impact strategies slightly outperforming their benchmarks. In addition, the resilience of SR strategies was a little stronger in countries and during periods in which the number of COVID-19 cases was increasing. In robustness checks, the authors control for public attention to the COVID-19 pandemic, as well as the economic effects of new policies implemented during the crisis, including lockdowns, and fiscal and monetary policy changes. Their findings call for careful SR investment selection because not all such investments have provided equal returns in the face of the COVID pandemic. TOPICS: Security analysis and valuation, mutual funds/passive investing/indexing, ESG investing, performance measurement Key Findings ▪ On average, socially responsible investing (SRI) indexes neither significantly outperformed nor underperformed their conventional benchmark during the COVID-19 crisis. ▪ SRI strategies show substantial heterogeneity, with impact strategies delivering better performance.

Socially Responsible Investing Strategies under Pressure: Evidence from COVID-19 (preprint)

By matching socially responsible (SR) stock indices worldwide with their conventional benchmarks, we study the resilience of SR investment strategies during the COVID-19 crisis. Overall, SR indices exhibited dynamics very similar to their benchmarks. Our sample is composed of 573 SR stock indices from MSCI, STOXX, and FTSE. In the first half of 2020, the average daily return was –0.11% for SR indices and their benchmarks, with annualized volatility of 40% for each. SR indices remained very close to their benchmarks during both the “fever period” (Feb. 24-Mar. 20) and the “rebound period” (Mar. 23-May 29). However, financial performances of SR strategies exhibit substantial heterogeneity: SR impact strategies slightly out-performed their benchmarks. In addition, the resilience of SR strategies was a little stronger in countries where and during periods when the number of COVID-19 cases increased.. In robustness checks, we control for public attention to the COVID-19 pandemic, as well as the economic effects of new policies implemented during the crisis, including lockdowns, and fiscal and monetary policy changes. These findings call for a selective investment strategy by SR investors if they expect that their preferences also deliver financial outperformance in times of crisis.