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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ruckstuhl, Andreas | - |
dc.contributor.author | Weibel, Marc | - |
dc.contributor.author | Meier, Peter | - |
dc.date.accessioned | 2018-06-25T14:21:22Z | - |
dc.date.available | 2018-06-25T14:21:22Z | - |
dc.date.issued | 2013 | - |
dc.identifier.issn | 1369-3727 | de_CH |
dc.identifier.uri | https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article | de_CH |
dc.identifier.uri | https://digitalcollection.zhaw.ch/handle/11475/7267 | - |
dc.description.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. | de_CH |
dc.language.iso | en | de_CH |
dc.publisher | IPE | de_CH |
dc.relation.ispartof | Investment & Pensions Europe | de_CH |
dc.rights | Licence according to publishing contract | de_CH |
dc.subject | Core-satellite approach | de_CH |
dc.subject | Nicht-normal verteilte Rendite | de_CH |
dc.subject | Tail dependence | de_CH |
dc.subject | Portfolio optimization | de_CH |
dc.subject.ddc | 332.6: Investition | de_CH |
dc.title | Risk & portfolio construction : from sub-optimal to optimal | de_CH |
dc.type | Beitrag in Magazin oder Zeitung | de_CH |
dcterms.type | Text | de_CH |
zhaw.departement | School of Engineering | de_CH |
zhaw.organisationalunit | Institut für Datenanalyse und Prozessdesign (IDP) | de_CH |
zhaw.organisationalunit | Institut für Wealth & Asset Management (IWA) | de_CH |
zhaw.funding.eu | No | de_CH |
zhaw.originated.zhaw | Yes | de_CH |
zhaw.publication.status | publishedVersion | de_CH |
zhaw.funding.zhaw | Vergleich Behördenentschädigungen in den Gemeinden | de_CH |
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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