Strategic 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 structures

Hertrich, Christian

Strategic 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 structures

dc.contributor.author	Hertrich, Christian	de
dc.date.accessioned	2011-12-05	de
dc.date.accessioned	2016-03-31T09:12:07Z
dc.date.available	2011-12-05	de
dc.date.available	2016-03-31T09:12:07Z
dc.date.issued	2011	de
dc.date.updated	2013-04-25	de
dc.description.abstract	Our 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.identifier.other	381992950	de
dc.identifier.uri	http://nbn-resolving.de/urn:nbn:de:bsz:93-opus-69163	de
dc.identifier.uri	http://elib.uni-stuttgart.de/handle/11682/5565
dc.identifier.uri	http://dx.doi.org/10.18419/opus-5548
dc.language.iso	en	de
dc.relation.ispartofseries	Forschungsbericht / Betriebswirtschaftliches Institut der Universität Stuttgart, Lehrstuhl für Allgemeine Betriebswirtschaftslehre und Finanzwirtschaft;2011,4	de
dc.rights	info:eu-repo/semantics/openAccess	de
dc.subject.classification	Pensionskasse , Vermögensverwaltung , Multiple Zeitreihenanalyse , Portfoliomanagement , Dynamische Modellierung , Nachhaltigkeit , Hedge Fund	de
dc.subject.ddc	330	de
dc.subject.other	Nachhaltigkeit , Stochastik , Altersvorsorge , Zeitreihe , Finanzwissenschaft	de
dc.subject.other	Pension Insurance Fund , Occupational Pension Scheme , Portfolio Management , Vector Error Correction Model , SRI , Alternative Investments	en
dc.title	Strategic 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 structures	en
dc.type	workingPaper	de
ubs.fakultaet	Fakultät Wirtschafts- und Sozialwissenschaften	de
ubs.institut	Betriebswirtschaftliches Institut	de
ubs.opusid	6916	de
ubs.publikation.typ	Arbeitspapier	de
ubs.schriftenreihe.name	Forschungsbericht / Betriebswirtschaftliches Institut der Universität Stuttgart, Lehrstuhl für Allgemeine Betriebswirtschaftslehre und Finanzwirtschaft	de

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