Karl Frauendorfer

Title

Prof. Dr.

Last Name

Frauendorfer

First name

Karl

Email

karl.frauendorfer@unisg.ch

Phone

+41 71 224 2105

Homepage

http://www.iorcf.unisg.ch/de/Institut/Karl+Frauendorfer.aspx

www.unisg.ch/weitereinfokarlfrauendorfer

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DEVA+ (Dynamic Expectation Variance Analysis), Product Description

(ior/cf-HSG, University of St. Gallen, 2008)
Frauendorfer, Karl

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).

Type: work report

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/79156