DEVA+ (Dynamic Expectation Variance Analysis), Product Description
Type
work report
Date Issued
2008
Author(s)
Abstract
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).
Language
English
Keywords
asset allocation
stochastic programming
efficient frontier
liabilities
HSG Classification
contribution to practical use / society
Refereed
No
Publisher
ior/cf-HSG, University of St. Gallen
Subject(s)
Division(s)
Eprints ID
44993
File(s)![Thumbnail Image]()
Name
DEVA+_ProductDescription.pdf
Size
902.63 KB
Format
Adobe PDF
Checksum (MD5)
20d77c35c407dd9b4685ed5e6f88b45d