A Case Study on Asset Allocation in a Markowitz World

With extremely low interest rates, the task of efficient asset allocation is a challenging one. Michael Aichinger, Andreas Binder and Sophia Simmill move within the Markowitz world focusing on the multiperiod case

With a global wealth of 256 trillion USD in 2016  and with an ongoing regime of extremely low interest rates, the task of efficient asset allocation is a challenging one. In this article we move within the Markowitz world focusing on the multiperiod case.

While it is common sense (although sometimes falsified) that diversification should reduce risk with the desired return remaining unchanged, in our examples we wanted to quantify the volume of proposed reallocation under various trading strategies in the multiperiod case.

Logged-in members can download the article by clicking the link under all the “Related Posts” below. If there isn’t a link then you aren’t logged in! To log in or register visit here.

Magazine subscription information

Related Posts

Introduction to Variance Swaps The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instrument...
Monte Carlo in Esperanto This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo. The clsMathParser i...
Numerical Methods for the Markov Functional Model The Libor Market Model of Brace Gatarek and Musiela (BGM) (1997) is the market standard model for pricing and hedging exotic interest rate derivat...
A Generalised Procedure for Locating the Optimal C... The fundamental concepts that shape modern capital structuring theory were first put together by Modigliani and Miller (1958) in a series of proposit...
The Great Investors, Their Methods and How We Eval... Winning has two parts: getting an edge and then betting well. The former simply means that investments have an advantage so $1 invested returns on...
Not-so-complex Logarithms in the Heston Model In Heston's stochastic volatility framework , semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ...
Six Degrees of Idiocy One of the classic works of poker, and risk management, is Herbert Yardley’s 1957 best-seller, The Education of a Poker Player, Including Where an...
Monte Carlo Methods in Quantitative Finance Generi... We describe how we have designed and implemented a software architecture in C++ to model one-factor and multifactor option pricing problems. We pa...
Download Full Article Here
Read UnRisk's views on asset allocation and Markowitz
08-10_unrisk_final_may17