Risk & portfolio construction : from sub-optimal to optimal

Ruckstuhl, Andreas; Weibel, Marc; Meier, Peter

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.