Integrating New Asset Classes into an Asset Allocation Framework Applying Scenario Methodology
E-Book, Englisch, 166 Seiten, eBook
ISBN: 978-3-8349-8926-0
Verlag: Betriebswirtschaftlicher Verlag Gabler
Format: PDF
Kopierschutz: Wasserzeichen (»Systemvoraussetzungen)
Dr. Philipp M. Becker obtained his doctorate under the supervision of Prof. Dr. Pascal Gantenbein at the Swiss Institute of Banking and Finance, University of St. Gallen (Switzerland). He works in the asset management industry, focusing mainly on asset allocation and research.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
1;Acknowledgements;6
2;Brief Contents;7
3;Table of Contents;8
4;Abstract;12
5;Zusammenfassung;13
6;List of Figures;14
7;List of Abbreviations;17
8;1 Introduction;19
8.1;1.1 General motivation;19
8.2;1.2 Research questions;21
8.3;1.3 Outline;21
9;2 Asset Allocation Framework;23
9.1;2.1 Asset allocation;23
9.2;2.2 Portfolio theory;26
9.2.1;2.2.1 Mean-variance concept;27
9.2.2;2.2.2 Shortfall concept;30
9.3;2.3 Investors’ utility preference and categorization;34
9.3.1;2.3.1 Private investors;35
9.3.2;2.3.2 Institutional investors;37
9.4;2.4 Asset allocation requirements;39
9.5;2.5 Summary;40
10;3 Scenario Approach in Asset Allocation;42
10.1;3.1 Idea of scenario analysis;42
10.2;3.2 The scenario process;45
10.3;3.3 Critical assessment of the scenario approach;48
10.4;3.4 Examples of scenario analyses;51
10.4.1;3.4.1 Scenario analysis “The future of the global financial system”;52
10.4.2;3.4.2 Scenario analysis “European energy security 2020”;55
10.5;3.5 Combining scenario approach and asset allocation;59
10.6;3.6 Summary;63
11;4 Microfinance;64
11.1;4.1 Introduction to microfinance;64
11.1.1;4.1.1 Evolution of microfinance;64
11.1.2;4.1.2 Definitions and categories;65
11.2;4.2 Microfinance market from an investment perspective;67
11.2.1;4.2.1 Market overview;67
11.2.2;4.2.2 Microfinance users;69
11.2.3;4.2.3 Microfinance institutions;71
11.2.4;4.2.4 Microfinance investment vehicles;75
11.2.5;4.2.5 Microfinance service providers;78
11.3;4.3 Market situation;80
11.3.1;4.3.1 Current market conditions;80
11.3.2;4.3.2 Impact of financial crisis;83
11.3.3;4.3.3 Market potential;86
11.4;4.4 Microfinance investments – insights and quantitative analysis;88
11.4.1;4.4.1 Dexia Microcredit Fund;88
11.4.2;4.4.2 responsAbility Global Microfinance Fund;92
11.4.3;4.4.3 Structured products;93
11.4.4;4.4.4 ProCredit Holding;94
11.5;4.5 Microfinance investments in an asset allocation framework;95
11.6;4.6 Summary;97
12;5 Scenario Process Microfinance;99
12.1;5.1 Setup;99
12.1.1;5.1.1 Defining the goal;99
12.1.2;5.1.2 Methodology;100
12.1.3;5.1.3 Setup of process;101
12.1.4;5.1.4 Team selection and participants;103
12.2;5.2 The process;107
12.2.1;5.2.1 Preparations;107
12.2.1.1;5.2.1.1 Field of study;107
12.2.1.2;5.2.1.2 Introduction evening;107
12.2.2;5.2.2 Workshop I;108
12.2.2.1;5.2.2.1 Impact factors;108
12.2.2.2;5.2.2.2 Factor projections;109
12.2.2.3;5.2.2.3 Classification of descriptors;110
12.2.2.4;5.2.2.4 Scenarios;111
12.2.2.5;5.2.2.5 Wild card scenario and incidents;120
12.2.3;5.2.3 Workshop II;121
12.2.3.1;5.2.3.1 Derivation of implications;122
12.2.4;5.2.4 Closing day;128
12.2.4.1;5.2.4.1 Indicators and signposts;128
12.2.4.2;5.2.4.2 Scenario process feedback;129
12.3;5.3 Implications of scenario process microfinance for asset allocation;131
12.3.1;5.3.1 Parameters for the asset allocation framework Return estimate;131
12.3.2;5.3.2 Costs of a scenario process;135
12.4;5.4 Summary;135
13;6 Asset Allocation Model;137
13.1;6.1 Data and assumptions;137
13.1.1;6.1.1 Selection of asset classes and data;137
13.1.2;6.1.2 Input parameters for portfolio optimization;140
13.1.2.1;6.1.2.1 Return estimates;140
13.1.2.2;6.1.2.2 Risk and correlation parameters;141
13.2;6.2 Asset allocation optimization excluding microfinance;146
13.3;6.3 Asset allocation optimization including microfinance;147
13.3.1;6.3.1 Optimization with quantitative microfinance parameters;147
13.3.2;6.3.2 Optimization with qualitative microfinance parameters;149
13.4;6.4 Implication for asset allocation;150
13.4.1;6.4.1 Cross-comparison of portfolios;150
13.4.2;6.4.2 Cross-comparison of portfolio backtests;153
13.4.3;6.4.3 Implications for investors;154
13.4.4;6.4.4 Microfinance investment limitations;156
13.5;6.5 Summary;156
14;7 Conclusion;158
14.1;7.1 Summary of results;158
14.2;7.2 Outlook and implications;160
15;Bibliography;162
16;Interviews;171
17;Appendix;172
Asset Allocation Framework.- Scenario Approach in Asset Allocation.- Microfinance.- Scenario Process Microfinance.- Asset Allocation Model.- Conclusion.
