Investment Approaches

PMP participants are divided into three groups, each focusing on a distinct investment framework, explored theoretically and implemented practically.

Financial markets have inherent dynamics (momentum, speculative bubbles, and crashes), which often lead to market anomalies. These market anomalies ultimately lead to a waste of resources. The behavioral finance approach seeks to benefit from and ultimately to eliminate such market anomalies. We expect this approach to have a great deal of potential, pushing our returns above those of passive indices.

Primary Supervisor: Prof. Thorsten Hens

The goal of this investment approach is to systematically harvest risk premia and lock-in returns linked to cash flow yield for all asset classes. Traditionally the focus has been on emerging market currencies and fixed income.

Primary Supervisor: Michael Miliker, ZZ Vermögensberatung (Schweiz) AG

In the quantitative approach, investment decisions are made using strategies developed from an analysis of empirical data. Using statistical methods, potential investment strategies for a set of assets are formulated in detail and their performance over a long period is assessed. An important aspect of quantitative methods is to guarantee the consistent implementation of risk control and investment rules.

Primary Supervisor: Dr. Alexandre Ziegler

Investment strategies are implemented within a target set of asset allocation weights. All groups are also required to set up an adequate risk management process as well as develop a suitable documentation and controlling process within the predetermined framework.