Portfolio Strategies with Classical and Alternative Benchmarks

by Laura-Chloé Kuntz
Doctoral thesis
Date of Examination:2018-07-09
Date of issue:2018-07-19
Advisor:Prof. Dr. Olaf Korn
Referee:Prof. Dr. Olaf Korn
Referee:Prof. Dr. Jörg-Markus Hitz
Referee:Prof. Dr. Kilian Bizer
Persistent Address: http://dx.doi.org/10.53846/goediss-6972

 

 

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Abstract

English

This dissertation addresses different key elements in portfolio management. It intends to improve and analyze influences on portfolio strategies and their performance. Likewise, it aims at the systematization and extension of benchmark specifications as well as their effect on portfolio strategies. Each chapter focuses on a different aspect of developing and implementing portfolio strategies. The dissertation seeks to contribute to the advancement of portfolio strategies by making the performance generating process and influences on it more comprehensible and transparent. In doing so, it attempts to strengthen the awareness of the impact of the exact design of portfolio strategies and benchmarks on the resulting portfolio and its performance. The key findings of this dissertation can be summarized as follows: The benchmark specification, especially in terms of the investible universe and the inherent risk conception, has substantial influence on the explicit design and performance of portfolio strategies. In general, the specification of the benchmark and design of portfolio strategies should be carefully considered and the implementation should be well thought out. Alternative risk conceptions, such as regret risk, can be applied to portfolio selection and lead to clearly different portfolio compositions. Moreover, timing strategies can be improved by choosing a careful investment approach on the basis of distributional regressions. All empirical work 3 of this thesis has in common that it pursues different ideas to set up portfolio strategies while explicitly addressing the benchmark specification used for the implementation and evaluation of said strategies.
Keywords: Portfolio Strategies; Benchmarks; Risk Concept; Smart Beta; Timing Strategies; Low-Beta Anomalie; Regret Aversion; Beta Dispersion
 
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