University of St.Gallen
research platform alexandria
Publikationen durchsuchen
Publikationen filtern
nach 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
 
nach Jahr

DEVA+ (Dynamic Expectation Variance Analysis), Product Description

Kurzfassung The existence of changing correlation structures needs to be taken into account when modelling an asset allocation situation. DEVA + (Dynamic Expectation Variance Analysis) is a multiperiod stochastic optimization approach to identify the optimal tactic and strategic asset allocation. The identified allocation strategies are efficient in a multiperiod context, i.e. under consideration of rebalancing activities, transaction costs, stochastic correlations and volatile financial markets. The dynamic asset allocation approach is designed for financial institutes, which have to fulfil a pension and insurance mandate (DEVA + L, where L stands for liability), and for investors, who want to assess their own asset allocation results against the background of the general market development (DEVA + B, where B stands for benchmark).
   
Typ Arbeitsbericht (Englisch)
   
Schlagwörter (Tags) asset allocation, stochastic programming, efficient frontier, liabilities
   
Erscheinungsdatum 2008
Verlag ior/cf-HSG, University of St. Gallen
Review internes Review
   
Zitation Frauendorfer, Karl: DEVA+ (Dynamic Expectation Variance Analysis), Product Description : ior/cf-HSG, University of St. Gallen, 2008.