This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a...

Die vorliegende Dissertation beinhaltet drei Beiträge, welche sich mit verschiedenen Aspekten der Dynamischen Asset Allokation befassen. Letztere beschreibt die Steuerung der Portfolioallokation eines Investors im Verlauf der Investitionsphase angesichts eines sich wandelnden Marktumfeldes und...

Diese Dissertation befasst sich mit aktuellen Fragestellungen rund um Investitionen in Private Equity. Der erste Artikel bietet Investoren einen strategischen Ansatz zur Erreichung der gewünschten Asset Allokation. Es wird empfohlen, neue Commitments einzugehen in Höhe der 1) Ausschüttungen,...

Die Mehrheit des globalen Finanzvermögens wird heute von professionellen Asset Managern investiert, welche häufig vergleichbare Prozesse und quantitative Techniken anwenden. Dies trifft vor allem auf die strategische Asset-Allokation auf Asset-Klassen, Regionen und Währungen zu. Am weitesten...

This paper considers the portfolio problem for high dimensional data when the dimension and size are both large.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distribution of the sample covariance is the main factor to...

This paper provides a brief review of the connecting literature in management science, economics and finance, and discusses some research that is related to the three disciplines. Academics could develop theoretical models and subsequent econometric models to estimate the parameters in the...

Pressure from institutional money managers to generate profits in the short run is often blamed for corporate myopia. Theoretical research suggests that money managers' short term focus stems from their career concerns and greater fund transparency can amplify these concerns. Using a...

Die Dissertation umfasst drei Artikel aus den Bereichen Asset Liability Management und Asset Management. Im ersten Artikel entwerfen wir einen Liability Benchmark, welcher zur Beurteilung der Anlage von Pensionskassen dient. Die relative Rendite der Strategischen Asset Allokation (SAA) im...

This cumulative dissertation studies various approaches to improve stock market volatility forecasts based on nonlinearity and asymmetric dependence modeling as well as new innovative data sources. Studying multivariate dependence patterns using a vine copula approach and incorporating Google...

This thesis consists of three essays on the interaction of investor clienteles and mutual fund behavior. The first essay (Cici, Kempf, and Sorhage 2015, Do Financial Advisors Provide Tangible Benefits for Investors? Evidence from Tax-Motivated Mutual Fund Flowsʺ) adds to the literature on fund...

This thesis deals with the portfolio optimization problem of an investor who aims to maximize the expected utility of her terminal wealth. The considered multidimensional asset price model incorporates several risk factors modeled both by diffusion processes and by a Markov chain. Based on the...

Diese Dissertation untersucht Rendite-/Risiko-Eigenschaften sowie Bewertungsaspekte von Listed Private Equity (LPE). Der empirische Teil wird ergänzt durch eine Einleitung in die Thematik sowie einer Zusammenfassung der Ergebnisse. Der erste Aufsatz befasst sich mit der Performance von LPE...

We examine the funding liquidity risk of funds of hedge funds (FoFs) by proposing a new measure, illiquidity gap, which captures the mismatch between the liquidity of a FoF's portfolio and the liquidity offered to its own investors. We find that hedge funds that are exposed to the flow-driven...

This paper features an analysis of the effectiveness of a range of portfolio diversi cation strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded returns on a...