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Modern portfolio theory drives Volkswagen Stiftung

The €2.3-billion ($3-billion) assets at the Volkswagen charitable foundation in Germany are powered by portfolio theory and diversification. The foundation is so keen on modern portfolio theory that its founder Harry Markowitz gets a mention in its annual report. Chief investment officer Dieter Lehmann says he is sure “that his correlation analysis isn’t correct at […]
Analysis

Modern portfolio theory, risk and fiduciary duty

It was only a few decades ago that trustees in many jurisdictions were restricted from investing in certain assets. Fiduciary duty has evolved as the thinking about investments has changed. This is true, then, of how trustees should be applying fiduciary duty to current day investment challenges, including systemic risk and climate change risk. Ed […]
In Conversation

Germans ‘deeply unhappy’ warns academic

The asset allocation of corporate pension plans should be driven by corporate finance not asset management according to Bernd Scherer, affiliate professor of finance at EDHEC Business School, and instructor of an upcoming seminar on portfolio construction and risk budgeting in Singapore.
STATE STREET SPONSORED RESEARCH

Rethinking Asset Allocation

Modern Portfolio Theory is being updated with new technuiques that take advantage of the vast computational and information-aggregation capabilities available in contemporary financial markets. Increasingly, frequent non-normal returns and dramatic swings in valuations suggest that management of tail risk may emerge as a new frontier of asset allocation. Click here to download the report