infonet-economy

The existence of changing correlation structures needs to be taken into account when modelling an asset allocation situation. DEVA + (Dynamic Expectation Variance Analysis) is a multiperiod stochastic optimization approach to identify the optimal tactic and strategic asset allocation. The identified allocation strategies are efficient in a multiperiod context, i.e. under consideration of rebalancing activities, transaction costs, stochastic correlations and volatile financial markets. The dynamic asset allocation approach is designed for financial institutes, which have to fulfil a pension and insurance mandate (DEVA + L, where L stands for liability), and for investors, who want to assess their own asset allocation results against the background of the general market development (DEVA + B, where B stands for benchmark).