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dc.contributor.authorHertrich, Christiande
dc.description.abstractOur research project analyses the suitability of social responsible investments (SRI) and alternative asset classes (in particular commodities, hedge fund investments, high-yield bonds) for the portfolio management of German Pension Insurance Funds (Pensionskassen), the largest external occupational pension scheme in Germany. The research objective is to determine optimal portfolio allocations for varying asset classes and investment strategies. The empirical methodology applied in our analysis will consist of stochastic time series simulations in combination with dynamic, multi-period asset allocation strategies. To our knowledge, our research proposal is to date the first of its kind and will provide valuable results to the academic research community as well as represent a useful reference for finance practitioners.en
dc.relation.ispartofseriesForschungsbericht / Betriebswirtschaftliches Institut der Universität Stuttgart, Lehrstuhl für Allgemeine Betriebswirtschaftslehre und Finanzwirtschaft;2011,4de
dc.subject.classificationPensionskasse , Vermögensverwaltung , Multiple Zeitreihenanalyse , Portfoliomanagement , Dynamische Modellierung , Nachhaltigkeit , Hedge Fundde
dc.subject.otherNachhaltigkeit , Stochastik , Altersvorsorge , Zeitreihe , Finanzwissenschaftde
dc.subject.otherPension Insurance Fund , Occupational Pension Scheme , Portfolio Management , Vector Error Correction Model , SRI , Alternative Investmentsen
dc.titleStrategic asset allocation considerations for German pension insurance funds: theoretical analysis and empirical evidence : applying stochastic time-series simulations and dynamic, multiperiod investment strategies to determine optimal portfolio structuresen
ubs.fakultaetFakultät Wirtschafts- und Sozialwissenschaftende
ubs.institutBetriebswirtschaftliches Institutde
ubs.schriftenreihe.nameForschungsbericht / Betriebswirtschaftliches Institut der Universität Stuttgart, Lehrstuhl für Allgemeine Betriebswirtschaftslehre und Finanzwirtschaftde
Appears in Collections:10 Fakultät Wirtschafts- und Sozialwissenschaften

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