Quantitative Investment Management and Portfolio Optimisation
Project Description
Overall, the proposed dissertation project aims to contribute to academic literature by identifying research gaps in the field of quantitative investment management and answering the respective by applying state of the art methods. In this respect, the first two papers are particularly concerned with the reduction of estimation errors of expected returns and covariance's. Subsequently, the third paper takes a slightly different turn by questioning the general assumption of domestic investment being free of exchange rate exposure. This is of particular relevance with respect to the on-going discussion on international diversification and hedging strategies. Finally, paper four wraps up by taking a closer look at delegated portfolio management and moral hazard issues associated with it. In this context, the author introduces the well-known Black-Litterman approach as a potential solution to the common principal-agent problem and, thereby, provides an alternative to costly monitoring processes commonly adopted in practice. Consequently, the expected results of the planned dissertation project will also yield valuable insights for practitioners.
