After-Work Lecture: Portfolio Design - An Integrated Approach

Dozierende:

Michael Kurt Frommelt

Prof. em. Dr. Marco J. Menichetti

Dr. Renato Staub

School/Professur:

Over the past 20 years, much research has been done on valuation analysis, which can only be improved marginally at this point. On the other hand, portfolio design is still in its early stages. Let us assume, for instance, that market A is undervalued by X%, and hence we overweight it in our active portfolio by Y%. Unfortunately, there is no generally accepted formal rule regarding the concrete value of Y. Hence, we improve the allocation process by providing a formal translation between valuation based signals and the corresponding allocations. Our framework is transparent and consistent across capabilities. Further, it is commensurate with the opportunity set and meets the long term risk budget.

Professionals from Corporations, Banks, Asset- and Management Companies, Insurance Companies, Financial Advisory Services, Tax Administration, Lawyers, Trustees, Fund Managers and Financial Auditors