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Enhanced optimal portfolios - A controlled intergration of quantitative predictors

Reference

Kaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced optimal portfolios - A controlled intergration of quantitative predictors. Presented at the 29th GdRE Annual International Symposium on Money, Banking and Finance, Nantes (France).

Publication Type

Presentation at Scholarly Conference

Staff Members

Prof. em. Dr. Marco J. Menichetti Dr. Lars Kaiser Dr. Aron Veress MSc

Participating Institutions

Institute for Financial Services Chair in Business Administration, Banking and Financial Management

Research

Regression based approaches to optimize active asset allocation
Preproposal PhD-Thesis
September 2009 until September 2011 (finished)
Active, tactical asset allocation approaches are applied portfolio-strategies in order to achieve additional gains on the markets, where the assets are invested. Based on various indicators the ... More
Optimisation of Asset Allocation based on Black-Litterman
Preproposal PhD-Thesis
March 2011 (finished)
The classical approach of portfolio theory is almost exclusively based on the work by Harry Markowitz in which a double-sides objective is defined: maximisation of expected portfolio return by ... More
Quantitative Investment Management and Portfolio Optimisation
PhD-Thesis
March 2011 until February 2015 (finished)
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 ... More

DOI

http://www.gdresymposium.eu/