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dc.contributor.authorRuckstuhl, Andreas-
dc.contributor.authorWeibel, Marc-
dc.contributor.authorMeier, Peter-
dc.date.accessioned2018-06-25T14:21:22Z-
dc.date.available2018-06-25T14:21:22Z-
dc.date.issued2013-
dc.identifier.issn1369-3727de_CH
dc.identifier.urihttps://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.articlede_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/7267-
dc.description.abstractThe classical Markowitz portfolio optimisation was a powerful intellectual concept with epochal effects on portfolio management. Nevertheless, its practical use is restricted by its many limitations. The weights of constituents of a Markowitz-optimised portfolio are extremely sensitive to return estimations. Furthermore, such optimised portfolios lose a lot of their diversification advantages during stress periods, because some assets have fat-tailed return distributions, and correlations increase. Although the problems of the mean-variance approach of Markowitz are well addressed, few broadly accepted or commercially available approaches exist to mitigate them. A research team at Zurich University (ZHAW), supported by the Swiss Commission for Technology & Innovation, Complementa, the Cantonal Bank of Zurich, the City of Zurich Pension Plan and Alternative Soft, has developed an optimiser with many features to overcome the weaknesses of mean-variance optimisation.de_CH
dc.language.isoende_CH
dc.publisherIPEde_CH
dc.relation.ispartofInvestment & Pensions Europede_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectCore-satellite approachde_CH
dc.subjectNicht-normal verteilte Renditede_CH
dc.subjectTail dependencede_CH
dc.subjectPortfolio optimizationde_CH
dc.subject.ddc332.6: Investitionde_CH
dc.titleRisk & portfolio construction : from sub-optimal to optimalde_CH
dc.typeBeitrag in Magazin oder Zeitungde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Datenanalyse und Prozessdesign (IDP)de_CH
zhaw.organisationalunitInstitut für Wealth & Asset Management (IWA)de_CH
zhaw.funding.euNode_CH
zhaw.originated.zhawYesde_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.funding.zhawVergleich Behördenentschädigungen in den Gemeindende_CH
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Ruckstuhl, A., Weibel, M., & Meier, P. (2013). Risk & portfolio construction : from sub-optimal to optimal. Investment & Pensions Europe. https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article
Ruckstuhl, A., Weibel, M. and Meier, P. (2013) ‘Risk & portfolio construction : from sub-optimal to optimal’, Investment & Pensions Europe [Preprint]. Available at: https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article.
A. Ruckstuhl, M. Weibel, and P. Meier, “Risk & portfolio construction : from sub-optimal to optimal,” Investment & Pensions Europe, 2013, [Online]. Available: https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article
RUCKSTUHL, Andreas, Marc WEIBEL und Peter MEIER, 2013. Risk & portfolio construction : from sub-optimal to optimal. Investment & Pensions Europe [online]. 2013. Verfügbar unter: https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article
Ruckstuhl, Andreas, Marc Weibel, and Peter Meier. 2013. “Risk & Portfolio Construction : From Sub-Optimal to Optimal.” Investment & Pensions Europe. https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article.
Ruckstuhl, Andreas, et al. “Risk & Portfolio Construction : From Sub-Optimal to Optimal.” Investment & Pensions Europe, 2013, https://www.ipe.com/risk-and-portfolio-construction-from-sub-optimal-to-optimal/53189.article.


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