Publication type: | Contribution to magazine or newspaper |
Title: | Risk & portfolio construction : from sub-optimal to optimal |
Authors: | Ruckstuhl, Andreas Weibel, Marc Meier, Peter |
Published in: | Investment & Pensions Europe |
Issue Date: | 2013 |
Publisher / Ed. Institution: | IPE |
ISSN: | 1369-3727 |
Language: | English |
Subjects: | Core-satellite approach; Nicht-normal verteilte Rendite; Tail dependence; Portfolio optimization |
Subject (DDC): | 332.6: Investment |
Abstract: | The classical Markowitz portfolio optimisation was a powerful intellectual concept with epochal effects on portfolio management. Nevertheless, its practical use is restricted by its many limitations. The weights of constituents of a Markowitz-optimised portfolio are extremely sensitive to return estimations. Furthermore, such optimised portfolios lose a lot of their diversification advantages during stress periods, because some assets have fat-tailed return distributions, and correlations increase. Although the problems of the mean-variance approach of Markowitz are well addressed, few broadly accepted or commercially available approaches exist to mitigate them. A research team at Zurich University (ZHAW), supported by the Swiss Commission for Technology & Innovation, Complementa, the Cantonal Bank of Zurich, the City of Zurich Pension Plan and Alternative Soft, has developed an optimiser with many features to overcome the weaknesses of mean-variance optimisation. |
URI: | https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article https://digitalcollection.zhaw.ch/handle/11475/7267 |
Fulltext version: | Published version |
License (according to publishing contract): | Licence according to publishing contract |
Departement: | School of Engineering |
Organisational Unit: | Institute of Data Analysis and Process Design (IDP) Institute of Wealth & Asset Management (IWA) |
Published as part of the ZHAW project: | Vergleich Behördenentschädigungen in den Gemeinden |
Appears in collections: | Publikationen School of Engineering |
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Ruckstuhl, A., Weibel, M., & Meier, P. (2013). Risk & portfolio construction : from sub-optimal to optimal. Investment & Pensions Europe. https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article
Ruckstuhl, A., Weibel, M. and Meier, P. (2013) ‘Risk & portfolio construction : from sub-optimal to optimal’, Investment & Pensions Europe [Preprint]. Available at: https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article.
A. Ruckstuhl, M. Weibel, and P. Meier, “Risk & portfolio construction : from sub-optimal to optimal,” Investment & Pensions Europe, 2013, [Online]. Available: https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article
RUCKSTUHL, Andreas, Marc WEIBEL und Peter MEIER, 2013. Risk & portfolio construction : from sub-optimal to optimal. Investment & Pensions Europe [online]. 2013. Verfügbar unter: https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article
Ruckstuhl, Andreas, Marc Weibel, and Peter Meier. 2013. “Risk & Portfolio Construction : From Sub-Optimal to Optimal.” Investment & Pensions Europe. https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article.
Ruckstuhl, Andreas, et al. “Risk & Portfolio Construction : From Sub-Optimal to Optimal.” Investment & Pensions Europe, 2013, https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article.
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