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Enhanced optimal portfolios - A controlled integration of quantitative predictors

Reference

Kaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Presented at the 25th Australasian Banking and Finance Conference, Sydney (Australia).

Publication Type

Presentation at Scholarly Conference

Staff Members

Employee
Prof. em. Dr. Marco J. Menichetti
Professor Emeritus - Liechtenstein Business School
Employee
Dr. Lars Kaiser
Employee
Dr. Aron Veress MSc

Participating Institutions

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

Research

Regression basierte Ansätze zur Optimierung von aktiven Asset Allokation
Preproposal PhD-Thesis
September 2009 until September 2011 (finished)
Unter aktiven, taktischen Asset Allokation Ansätzen versteht man angewandte Portfolio-Strategien, um an den investierten Märkten zusätzliche Erträge zu erzielen. Basierend auf verschiedene ... More
Optimierung der Asset Allokation basierend auf Black-Litterman
Preproposal PhD-Thesis
March 2011 (finished)
In dieser Dissertation wird der Fokus auf das bekannte Black-Litterman Verfahren gelegt. Dieser Verfahren wurde von Fisher Black und Robert Litterman in den Jahren 1990 bis 1992 entwickelt. Die ... 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.asb.unsw.edu.au/schools/bankingandfinance/newsandevents/afbc/pages/25thaustralasianfinancebankingconference.aspx