Practical portfolio management beyond mean-variance analysis

Portfolio management is crucial to both individual investors and our economy as a whole. For example, pension funds have large amounts of money to invest, taking their risk and gain potential into consideration. The project partner, Alberta Investment Management Corporation (AIMCo), is one of Canada’s largest and most diversified institutional investment fund managers. AIMCo manages more than $80 billion for Alberta pensions, endowments and government funds. Each AIMCo client sets its own asset mix policy and asset mix ranges, based on recommendations by AIMCo. This project attempts to enhance some of the tools that are currently used by AIMCo to give recommendations to its clients on their investments. In particular, we analyze how trading costs, illiquidity of some assets and stress scenarios can be incorporated in the portfolio management tools. This will allow AIMCo’s clients to make even better informed decisions on their choices of the asset mix.

Faculty Supervisor:

Christoph Frei

Student:

Partner:

Alberta Investment Management Corporation

Discipline:

Mathematics

Sector:

Finance and Insurance

University:

University of Alberta

Program: