Forum
Date
05.10.2012 12:00 - 13:00
Content
Enhanced Optimal Portfolios - A Controlled Integration of Quantitative Predictors (Aron Veress)
No unanimous agreement exists on the optimality of market-capitalization weighted portfolios, nor on the potential benefits of active portfolio management. Starting from the classical Black-Litterman approach, we show that historically generated excess return above the market portfolio can be retained whilst constraining additional downside risk. Weighting factors required for the mixed estimation can be directly derived from predictive regressions in form of the goodness-of-fit measure. This enables an unambiguous determination of certainty levels in a dynamic multi-period framework.
Risk Management, Company Law and Procedures (Dirk A. Zetzsche)
Legislatures tend more and more to implement procedural rules that impact on corporate governance. Example includes the U.S. Sarbanes-Oxley-Legislation and the European Commission's Green Paper on Corporate Governance proposal for a board duty to "ensure a proper oversight of the risk management processes, [...] the board of directors [having to] bear[] primary responsibility for defining the risk profile of a given organisation according to the strategy followed and monitoring it adequately to ensure it works effectively."
Im Anschluss an das Kolloquium sind alle Teilnehmer zu einem kleinen Imbiss eingeladen. Dazu bitten wir um Anmeldung bis zum 04. Oktober um 17.00 Uhr bei Nicole Thöny (nicole.thoeny@uni.li).
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