University of St.Gallen
research platform alexandria
search projects
browse projects
by person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
by year
by project type

Dynamische Erwartungswert Varianz Analyse (DEVA)

abstract DEVA is a multiperiod extension of the wellknown Markowitz model for the asset allocation decision. The dynamic of the asset allocation decision process and the stochastic on the financial markets are modelled in a consistent way. The returns on the financial markets are modeled with a cutting edge regime switching model which allows to differentiate forecasts with respect to regimes like bull or bear markets. In the last years a comfortable graphical user interface has been developped and selling activities have helped to position DEVA in the market. DEVA is used by different institutional investors for the strategical or/and tactical asset allocation decision.
   
keywords Asset Allocation in a multiperiod context, portfolio management, stochastic volatilities, regime switching model
   
partner
type consulting project
status ongoing
start of project 1997
additional informations
topics
methods
contact Karl Frauendorfer