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Structural positions and risk budgeting: Quantifying the impact of structural positions and deriving implications for active portfolio management

Herold, Ulf; Maurer, Raimond - 2001

complicate measuring managers' skill. The paper also develops normative implications for active portfolio management. Tactical …, investors are advised not to base performance evaluation only on simple manager rankings because this encourages managers to … take structural positions and does not reward efforts to produce alpha. The same holds true for comparing managers …

Persistent link: https://www.econbiz.de/10010316231

Integrated asset liability modelling for property casuality insurance: A portfolio theoretical approach

Dus, Ivica; Maurer, Raimond - 2001

theory and recognizes the stochastic nature of and the interaction between the underwriting and investment income of the …

Persistent link: https://www.econbiz.de/10010316238

Portfolio Choice and Estimation Risk: A Comparison of Bayesian to Heuristic Approaches

Herold, Ulf; Maurer, Raimond - 2002

Estimation risk is known to have a huge impact on mean/variance (MV) optimized portfolios, which is one of the primary reasons to make standard Markowitz optimization unfeasible in practice. Several approaches to incorporate estimation risk into portfolio selection are suggested in the earlier...

Persistent link: https://www.econbiz.de/10010316250

Immobilienindizes im Portfolio-Management

Maurer, Raimond; Sebastian, Steffen; Stephan, Thomas G. - 2000

Der vorliegende Beitrag zeigt verschiedene Möglichkeiten auf, um repräsentative Renditen für die Anlageklasse Immobilien berechnen zu können. Betrachtet werden Indizes auf der Basis (i) von regelmäßig bewerteter Immobilienportefeuilles, (ii) auf Basis von Markttransaktionen in Immobilien...

Persistent link: https://www.econbiz.de/10010316301