Resampling Private Markets for Asset Allocation
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Authors
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Publication date
2023
Typ of student thesis
Bachelor
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Collections
Type
11 - Student thesis
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Hochschule für Wirtschaft FHNW
Place of publication / Event location
Olten
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StepStone Private Debt / Swiss Capital Alternative Investments AG, Zürich
Abstract
The traditional approach to asset allocation using mean-variance optimization (MVO) has been a major breakthrough but it is not without criticism, particularly for private market investments. Recognizing the need for innovative solutions, StepStone seeks to explore alternatives, including Michaud's resampling method. The aim is to develop a more efficient and robust strategy, specific to the unique characteristics and demands of private market portfolios, prividing the basis for a comprehensive comparative analysis.
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English
Created during FHNW affiliation
Yes
Strategic action fields FHNW
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Review
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Citation
Al Ayad, B., & Von Arx, D. (2023). Resampling Private Markets for Asset Allocation [Hochschule für Wirtschaft FHNW]. https://irf.fhnw.ch/handle/11654/42137