A Case Study on Asset Allocation in a Markowitz World

With extremely low interest rates, the task of efficient asset allocation is a challenging one. Michael Aichinger, Andreas Binder and Sophia Simmill move within the Markowitz world focusing on the multiperiod case

With a global wealth of 256 trillion USD in 2016  and with an ongoing regime of extremely low interest rates, the task of efficient asset allocation is a challenging one. In this article we move within the Markowitz world focusing on the multiperiod case.

While it is common sense (although sometimes falsified) that diversification should reduce risk with the desired return remaining unchanged, in our examples we wanted to quantify the volume of proposed reallocation under various trading strategies in the multiperiod case.

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