Title: Risk & portfolio construction : from sub-optimal to optimal
Authors : Ruckstuhl, Andreas
Weibel, Marc
Meier, Peter
Published in : Investment & Pensions Europe
Publisher / Ed. Institution : IPE International Publishers
Issue Date: 2013
License (according to publishing contract) : Licence according to publishing contract
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.
Departement: School of Engineering
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Institute of Wealth and Asset Management (IWA)
Publication type: Contribution to Magazine or Newspaper
ISSN: 1369-3727
URI: https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article
https://digitalcollection.zhaw.ch/handle/11475/7267
Published as part of the ZHAW project : Vergleich Beh√∂rdenentsch√§digungen in den Gemeinden
Appears in Collections:Publikationen School of Engineering

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