Dynamische Erwartungswert Varianz Analyse (DEVA)
Type
consulting project
Start Date
September 1, 1997
Status
ongoing
Keywords
Asset Allocation in a multiperiod context
portfolio management
stochastic volatilities
regime switching model
Description
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.
Leader contributor(s)
Member contributor(s)
Schmid, Olivier
Funder
Division(s)
Eprints ID
7264