The age of index investing: Current developments in asset allocation and portfolio management

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Type and Duration

Preproposal PhD-Thesis, since September 2017


Chair in Finance

Main Research

Wealth Management

Field of Research

Behavioural Finance


The core topic of the doctoral thesis is conducted under the focus of alternative investments and their time-varying correlation with traditional asset classes. The goal of analyzing time-varying correlations across different asset classes should give insight into future market developments and their influence on portfolio management as well as risk management decisions. Shared behavior offers the possibility to analyze common value drivers of certain markets in more detail. Based on this knowledge, forecasts
can be produced to provide investors with the best asset or risk allocation possible. Furthermore, investment strategies can expect steadier performance in case that certain co-movements persist over
longer time horizons.

By introducing relatively new market segments with hedge fund and private equity indices, existing correlation analysis is enlarged. As these alternative investment markets see steady capital inflows,
their behavior towards equity markets is of major interest for investors. Similar correlations in commodity and real estate markets display relatively vulnerable investments in time periods with high
market volatility. From that perspective, it might be valuable to find assets, which keep their exposure towards unique value drivers. So far, there has been no comprehensive study incorporating all asset
classes in their dynamic correlation analysis. Especially with an extending investment universe investors need clarification and a basic understanding of the risks they are buying into their portfolios.


Asset Management, Portfolio Management