Quantitative Investment Management and Portfolio Optimisation

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Type and Duration

PhD-Thesis, March 2011 until February 2015 (finished)

Coordinator

Chair in Business Administration, Banking and Financial Management

Main Research

Wealth Management

Field of Research

Banking and Finance

Description

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 applying state of the art methods. In this respect, the first two papers are particularly concerned with the reduction of estimation errors of expected returns and covariance's. Subsequently, the third paper takes a slightly different turn by questioning the general assumption of domestic investment being free of exchange rate exposure. This is of particular relevance with respect to the on-going discussion on international diversification and hedging strategies. Finally, paper four wraps up by taking a closer look at delegated portfolio management and moral hazard issues associated with it. In this context, the author introduces the well-known Black-Litterman approach as a potential solution to the common principal-agent problem and, thereby, provides an alternative to costly monitoring processes commonly adopted in practice. Consequently, the expected results of the planned dissertation project will also yield valuable insights for practitioners.

Keywords

Portfolio Optimisation, Black-Litterman Approach, Exchange Rate Risk

Publications

  • Kaiser, L. (2017). Portfolio concentration and equity market contagion: evidence on the “flight to familiarity” across indexing methods. Journal of Investment Strategies, 7(1), 1-20.

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  • Kaiser, L., Veress, A., & Menichetti, M. J. (2014). Enhanced Mean-Variance Portfolios: A Controlled Integration of Quantitative Predictors. Journal of Portfolio Management, 40(4), 28-41. (ABDC_2016: A; ABS: 2; ISI: 0.659; ISI: 0.41; VHB_3: B)

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  • Kaiser, L. (2014). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. International Journal of Economics and Finance, 6(6), 14-29.

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  • Kaiser, L. (2015). Categorical Evaluation of Alternative Index Weighting Schemes. Paper presented at the 2015 FMA European Conference, Venice (Italy).

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  • Kaiser, L. (2014). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. Paper presented at the Eastern Finance Association Annual Meeting, Pittsburgh (US).

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  • Kaiser, L., Veress, A., & Menichetti, M. (2013). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the Eastern Finance Association Annual Meeting, St. Pete Beach (Florida, US).

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  • Kaiser, L. (2013). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. Paper presented at the Internationales Doktorandenseminar in Banking 2013, Augsburg (Germany).

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

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  • Kaiser, L., Veress, A., & Menichetti, M. (2012). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the 2012 International Doctoral Seminar, Fribourg (Switzerland).

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

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  • Kaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the 2012 Auckland Finance Meeting, Auckland (New Zealand).

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  • Kaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced Mean-Variance Portfolios: A Controlled Integration of Quantitative Predictors. Paper presented at the Research Seminar at City University Hong Kong, Hong Kong.

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  • Kaiser, L. (2013). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the Quantitative and Asset Management Workshop, Venice (Italy).

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  • Kaiser, L. (2012). Mitigating the Principal - Agent Problem in Delegated Portfolio Management. University of Liechtenstein.

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  • Kaiser, L. (2014, 16.09.2014). Der Mittelweg: Kontrolliert aktiv investieren. Der Monat, 9.

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  • Kaiser, L. (2015). Ansätze zur Portfoliostrukturierung: Smart Beta. Liechtenstein Live, Vaduz.

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  • Kaiser, L. (2013). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Quantitiative & Asset Management Workshop 2013, Venice (Italy).

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