bibliography - springer978-3-8349-8926-0/1.pdf · bibliography auckenthaler, c. ... barclays...

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INTERVIEWS 153

Interviews

De Bleecker, Berg. PGGM, Investment Manager. Telephone interview. Amsterdam: June 30, 2009.

Huber, Patrik. responsAbility Social Investments AG, Member of the Board. Per-sonal interview. Zurich: April 28, 2009 and several more discussions during and after the scenario process.

Krauss, Annette. University of Zurich, Head of Centre for Microfinance. Personal interview. Zurich: April 2, 2009 and several more discussions during the scenario process.

Knöpfel, Ivo. onValues, CEO. Personal interview. Zurich: June 26, 2009.

Mammertz, Rochus. responsAbility Social Investments AG, equity and regulation specialist. Telephone interview. Zurich: June 30, 2009.

von Stauffenberg, Damian. Microrate, CEO. Personal interview. London: October 31, 2008 and several more discussions during the scenario process.


154 APPENDIX

Appendix Appendix– 1: Descriptor essay no. 12 – market structure in MFI segment


APPENDIX 155

156 APPENDIX

Appendix– 2: Questionnaire regarding attractiveness of asset classes

Scenario analysis microfinance Workshop II

Questionnaire: RETURN EXPECTATIONS Name: ___________________________

Task: Please indicate for the following asset classes in every scenario a risk-adjusted attractivity. In which asset class do you want to invest your money?

Skale: 1 (very unattractive) 4 (rather attractive) Joker: - (no answer) 2 (unattractive) 5 (attractive) 3 (rather unattractive) 6 (very attractive)

Asset class A2 A3 A4 B1 Wildcard

• MF Equity

• MF Debt

• EM Corporate Debt

• EM Sovereign Debt

• EM Equity

• Money Market USD

• Global Equity

• Global Bonds

• High-Yield Bonds

• Investment Grade Bonds

Task 2: Please indicate a probability for every scenarioRemark: The probabilities of all five scenarios should add to 100%.

A2 A3 A4 B1 Wildcard

Probability

Scenario

Scenario

APPENDIX 157

Appendix– 3: Questionnaire regarding correlation measures

Scenario analysis microfinance Workshop II

Questionnarie: CORRELATION Name: ___________________________Idea: Measure correlations of macroeconomic and market factors with different asset classes

Factor Asset class 1 0.5 0 -0.5 -1 no answer

• Increasing EM growth EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

• Increasing EM inflation EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

• Increasing EM FX volatility EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

• Increasing global liquidity EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

• Increasing political stability (in countries) EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

• High debt level EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

• Negative primary budget EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

• Increasing commodity prices EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

• Increasing global political stability EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

• Increasing acceptance of market economy in EM EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

• Globalisation EM Corporate Bonds � � � � � �EM Bonds � � � � � �EM Equity � � � � � �MF Debt � � � � � �MF Equity � � � � � �

158 APPENDIX

Appendix– 4: Covariance and correlation matrices excluding microfinance

MM

USD

EQ W

orld

EQ

EM

FI W

orld

FI IL

FI E

MFI

CR

EFI

HY

FI C

BFI

CA

TH

FPE

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ITs

CO

M

Mon

ey M

arke

t USD

0.00

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0000

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10.

0000

0.00

000.

0000

0.00

000.

0000

0.00

000.

0001

0.00

020.

0000

0.00

01E

quiti

es W

orld

0.00

000.

0323

0.03

980.

0020

0.00

630.

0115

0.00

780.

0149

0.01

950.

0012

0.00

730.

0384

0.03

100.

0181

Equ

ities

EM

0.00

000.

0398

0.06

590.

0016

0.00

800.

0176

0.01

070.

0218

0.02

690.

0017

0.01

170.

0542

0.03

950.

0299

Gov

Bon

ds W

orld

0.00

000.

0020

0.00

160.

0049

0.00

430.

0022

0.00

370.

0013

0.00

250.

0003

0.00

05-0

.002

40.

0040

0.00

23G

ov B

onds

Infla

tion

Lin

ked

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001

0.00

630.

0080

0.00

430.

0076

0.00

440.

0057

0.00

470.

0056

0.00

070.

0020

0.00

380.

0098

0.00

89G

ov B

onds

EM

0.00

000.

0115

0.01

760.

0022

0.00

440.

0121

0.00

550.

0096

0.00

930.

0008

0.00

370.

0156

0.01

370.

0076

Cre

dit B

onds

0.00

000.

0078

0.01

070.

0037

0.00

570.

0055

0.00

820.

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0.00

720.

0008

0.00

260.

0078

0.01

180.

0085

Hig

h Y

ield

Bon

ds0.

0000

0.01

490.

0218

0.00

130.

0047

0.00

960.

0069

0.01

660.

0115

0.00

130.

0047

0.02

080.

0183

0.01

10C

onve

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le B

onds

0.00

000.

0195

0.02

690.

0025

0.00

560.

0093

0.00

720.

0115

0.02

130.

0013

0.00

700.

0250

0.01

780.

0148

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0000

0.00

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0.00

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0.01

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0007

0.00

190.

0018

0.00

18H

edge

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ds0.

0000

0.00

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0117

0.00

050.

0020

0.00

370.

0026

0.00

470.

0070

0.00

070.

0200

0.01

210.

0065

0.00

82Pr

ivat

e E

quity

0.00

010.

0384

0.05

42-0

.002

40.

0038

0.01

560.

0078

0.02

080.

0250

0.00

190.

0121

0.13

070.

0408

0.02

75R

EIT

s0.

0002

0.03

100.

0395

0.00

400.

0098

0.01

370.

0118

0.01

830.

0178

0.00

180.

0065

0.04

080.

0500

0.02

07C

omm

oditi

es0.

0000

0.01

810.

0299

0.00

230.

0089

0.00

760.

0085

0.01

100.

0148

0.00

180.

0082

0.02

750.

0207

0.07

08

Ris

k0.

5%18

.0%

25.7

%7.

0%8.

7%11

.0%

9.1%

12.9

%14

.6%

12.3

%14

.1%

36.2

%22

.4%

26.6

%

MM

USD

EQ W

orld

EQ

EM

FI W

orld

FI IL

FI E

MFI

CR

EFI

HY

FI C

BFI

CA

TH

FPE

RE

ITs

CO

M

Mon

ey M

arke

t USD

1.00

0.01

-0.0

1-0

.08

-0.0

40.

00-0

.04

-0.0

40.

000.

010.

040.

060.

020.

05E

quiti

es W

orld

0.01

1.00

0.86

0.16

0.40

0.58

0.48

0.64

0.75

0.06

0.29

0.59

0.77

0.38

Equ

ities

EM

0.01

0.86

1.00

0.09

0.36

0.62

0.46

0.66

0.72

0.05

0.32

0.58

0.69

0.44

Gov

Bon

ds W

orld

-0.0

30.

160.

091.

000.

710.

290.

580.

140.

250.

030.

05-0

.09

0.25

0.12

Gov

Bon

ds In

flatio

n L

inke

d-0

.07

0.40

0.36

0.71

1.00

0.46

0.72

0.41

0.44

0.07

0.16

0.12

0.51

0.39

Gov

Bon

ds E

M-0

.03

0.58

0.62

0.29

0.46

1.00

0.55

0.68

0.58

0.06

0.24

0.39

0.56

0.26

Cre

dit B

onds

0.00

0.48

0.46

0.58

0.72

0.55

1.00

0.59

0.55

0.07

0.20

0.24

0.58

0.35

Hig

h Y

ield

Bon

ds-0

.03

0.64

0.66

0.14

0.41

0.68

0.59

1.00

0.61

0.08

0.26

0.45

0.64

0.32

Con

vert

ible

Bon

ds-0

.03

0.75

0.72

0.25

0.44

0.58

0.55

0.61

1.00

0.07

0.34

0.47

0.55

0.38

Cat

Bon

ds0.

000.

060.

050.

030.

070.

060.

070.

080.

071.

000.

040.

040.

060.

06H

edge

Fun

ds0.

010.

290.

320.

050.

160.

240.

200.

260.

340.

041.

000.

240.

210.

22Pr

ivat

e E

quity

0.01

0.59

0.58

-0.0

90.

120.

390.

240.

450.

470.

040.

241.

000.

500.

29R

EIT

s0.

100.

770.

690.

250.

510.

560.

580.

640.

550.

060.

210.

501.

000.

35C

omm

oditi

es0.

010.

380.

440.

120.

390.

260.

350.

320.

380.

060.

220.

290.

351.

00

APPENDIX 159

Appendix– 5: Covariance and correlation matrices including microfinance (quan-titative approach)

MM

USD

EQ

Wor

ldEQ

EM

FI W

orld

FI IL

FI E

MFI

CR

EFI

HY

FI C

BFI

CA

TH

FPE

RE

ITs

CO

MFI

MF

Mon

ey M

arke

t USD

0.00

000.

0000

0.00

00-0

.000

10.

0000

0.00

000.

0000

0.00

000.

0000

0.00

000.

0001

0.00

020.

0000

0.00

010.

0000

Equi

ties W

orld

0.00

000.

0323

0.03

980.

0020

0.00

630.

0115

0.00

780.

0149

0.01

950.

0012

0.00

730.

0384

0.03

100.

0181

-0.0

001

Equi

ties E

M0.

0000

0.03

980.

0659

0.00

160.

0080

0.01

760.

0107

0.02

180.

0269

0.00

170.

0117

0.05

420.

0395

0.02

99-0

.000

2G

ov B

onds

Wor

ld0.

0000

0.00

200.

0016

0.00

490.

0043

0.00

220.

0037

0.00

130.

0025

0.00

030.

0005

-0.0

024

0.00

400.

0023

0.00

00G

ov B

onds

Infla

tion

Link

ed-0

.000

10.

0063

0.00

800.

0043

0.00

760.

0044

0.00

570.

0047

0.00

560.

0007

0.00

200.

0038

0.00

980.

0089

0.00

00G

ov B

onds

EM

0.00

000.

0115

0.01

760.

0022

0.00

440.

0121

0.00

550.

0096

0.00

930.

0008

0.00

370.

0156

0.01

370.

0076

0.00

00C

redi

t Bon

ds0.

0000

0.00

780.

0107

0.00

370.

0057

0.00

550.

0082

0.00

690.

0072

0.00

080.

0026

0.00

780.

0118

0.00

850.

0000

Hig

h Y

ield

Bon

ds0.

0000

0.01

490.

0218

0.00

130.

0047

0.00

960.

0069

0.01

660.

0115

0.00

130.

0047

0.02

080.

0183

0.01

100.

0000

Con

vert

ible

Bon

ds0.

0000

0.01

950.

0269

0.00

250.

0056

0.00

930.

0072

0.01

150.

0213

0.00

130.

0070

0.02

500.

0178

0.01

48-0

.000

1C

at B

onds

0.00

000.

0012

0.00

170.

0003

0.00

070.

0008

0.00

080.

0013

0.00

130.

0151

0.00

070.

0019

0.00

180.

0018

0.00

00H

edge

Fun

ds0.

0000

0.00

730.

0117

0.00

050.

0020

0.00

370.

0026

0.00

470.

0070

0.00

070.

0200

0.01

210.

0065

0.00

82-0

.000

1Pr

ivat

e Eq

uity

0.00

010.

0384

0.05

42-0

.002

40.

0038

0.01

560.

0078

0.02

080.

0250

0.00

190.

0121

0.13

070.

0408

0.02

75-0

.000

3R

EIT

s0.

0002

0.03

100.

0395

0.00

400.

0098

0.01

370.

0118

0.01

830.

0178

0.00

180.

0065

0.04

080.

0500

0.02

070.

0001

Com

mod

ities

0.00

000.

0181

0.02

990.

0023

0.00

890.

0076

0.00

850.

0110

0.01

480.

0018

0.00

820.

0275

0.02

070.

0708

-0.0

005

Cre

dit -

Mic

rofin

ance

0.00

00-0

.000

1-0

.000

20.

0000

0.00

000.

0000

0.00

000.

0000

-0.0

001

0.00

00-0

.000

1-0

.000

30.

0001

-0.0

005

0.00

73

Ris

k0.

5%18

.0%

25.7

%7.

0%8.

7%11

.0%

9.1%

12.9

%14

.6%

12.3

%14

.1%

36.2

%22

.4%

26.6

%8.

5%

MM

USD

EQ

Wor

ldEQ

EM

FI W

orld

FI IL

FI E

MFI

CR

EFI

HY

FI C

BFI

CA

TH

FPE

RE

ITs

CO

MFI

MF

Mon

ey M

arke

t USD

1.00

0.01

-0.0

1-0

.08

-0.0

40.

00-0

.04

-0.0

40.

000.

010.

040.

060.

020.

050.

02Eq

uitie

s Wor

ld0.

011.

000.

860.

160.

400.

580.

480.

640.

750.

060.

290.

590.

770.

380.

00Eq

uitie

s EM

0.01

0.86

1.00

0.09

0.36

0.62

0.46

0.66

0.72

0.05

0.32

0.58

0.69

0.44

-0.0

1G

ov B

onds

Wor

ld-0

.03

0.16

0.09

1.00

0.71

0.29

0.58

0.14

0.25

0.03

0.05

-0.0

90.

250.

120.

00G

ov B

onds

Infla

tion

Link

ed-0

.07

0.40

0.36

0.71

1.00

0.46

0.72

0.41

0.44

0.07

0.16

0.12

0.51

0.39

0.01

Gov

Bon

ds E

M-0

.03

0.58

0.62

0.29

0.46

1.00

0.55

0.68

0.58

0.06

0.24

0.39

0.56

0.26

0.00

Cre

dit B

onds

0.00

0.48

0.46

0.58

0.72

0.55

1.00

0.59

0.55

0.07

0.20

0.24

0.58

0.35

0.00

Hig

h Y

ield

Bon

ds-0

.03

0.64

0.66

0.14

0.41

0.68

0.59

1.00

0.61

0.08

0.26

0.45

0.64

0.32

0.00

Con

vert

ible

Bon

ds-0

.03

0.75

0.72

0.25

0.44

0.58

0.55

0.61

1.00

0.07

0.34

0.47

0.55

0.38

-0.0

1C

at B

onds

0.00

0.06

0.05

0.03

0.07

0.06

0.07

0.08

0.07

1.00

0.04

0.04

0.06

0.06

0.00

Hed

ge F

unds

0.01

0.29

0.32

0.05

0.16

0.24

0.20

0.26

0.34

0.04

1.00

0.24

0.21

0.22

0.00

Priv

ate

Equi

ty0.

010.

590.

58-0

.09

0.12

0.39

0.24

0.45

0.47

0.04

0.24

1.00

0.50

0.29

-0.0

1R

EIT

s0.

100.

770.

690.

250.

510.

560.

580.

640.

550.

060.

210.

501.

000.

350.

01C

omm

oditi

es0.

010.

380.

440.

120.

390.

260.

350.

320.

380.

060.

220.

290.

351.

00-0

.02

Cre

dit -

Mic

rofin

ance

0.00

0.00

-0.0

10.

000.

010.

000.

000.

00-0

.01

0.00

0.00

-0.0

10.

01-0

.02

1.00

160 APPENDIX

Appendix– 6: Covariance and correlation matrices including microfinance (quali-tative approach)

MM

USD

EQ

Wor

ldEQ

EM

FI W

orld

FI IL

FI E

MFI

CR

EFI

HY

FI C

BFI

CA

TH

FPE

RE

ITs

CO

MFI

MF

Mon

ey M

arke

t USD

0.00

000.

0000

0.00

00-0

.000

10.

0000

0.00

000.

0000

0.00

000.

0000

0.00

000.

0001

0.00

020.

0000

0.00

010.

0001

Equi

ties W

orld

0.00

000.

0323

0.03

980.

0020

0.00

630.

0115

0.00

780.

0149

0.01

950.

0012

0.00

730.

0384

0.03

100.

0181

0.00

24Eq

uitie

s EM

0.00

000.

0398

0.06

590.

0016

0.00

800.

0176

0.01

070.

0218

0.02

690.

0017

0.01

170.

0542

0.03

950.

0299

0.01

04G

ov B

onds

Wor

ld0.

0000

0.00

200.

0016

0.00

490.

0043

0.00

220.

0037

0.00

130.

0025

0.00

030.

0005

-0.0

024

0.00

400.

0023

0.00

19G

ov B

onds

Infla

tion

Link

ed-0

.000

10.

0063

0.00

800.

0043

0.00

760.

0044

0.00

570.

0047

0.00

560.

0007

0.00

200.

0038

0.00

980.

0089

0.00

47G

ov B

onds

EM

0.00

000.

0115

0.01

760.

0022

0.00

440.

0121

0.00

550.

0096

0.00

930.

0008

0.00

370.

0156

0.01

370.

0076

0.00

74C

redi

t Bon

ds0.

0000

0.00

780.

0107

0.00

370.

0057

0.00

550.

0082

0.00

690.

0072

0.00

080.

0026

0.00

780.

0118

0.00

850.

0037

Hig

h Y

ield

Bon

ds0.

0000

0.01

490.

0218

0.00

130.

0047

0.00

960.

0069

0.01

660.

0115

0.00

130.

0047

0.02

080.

0183

0.01

100.

0035

Con

vert

ible

Bon

ds0.

0000

0.01

950.

0269

0.00

250.

0056

0.00

930.

0072

0.01

150.

0213

0.00

130.

0070

0.02

500.

0178

0.01

480.

0020

Cat

Bon

ds0.

0000

0.00

120.

0017

0.00

030.

0007

0.00

080.

0008

0.00

130.

0013

0.01

510.

0007

0.00

190.

0018

0.00

180.

0033

Hed

ge F

unds

0.00

000.

0073

0.01

170.

0005

0.00

200.

0037

0.00

260.

0047

0.00

700.

0007

0.02

000.

0121

0.00

650.

0082

0.00

19Pr

ivat

e Eq

uity

0.00

010.

0384

0.05

42-0

.002

40.

0038

0.01

560.

0078

0.02

080.

0250

0.00

190.

0121

0.13

070.

0408

0.02

750.

0049

RE

ITs

0.00

020.

0310

0.03

950.

0040

0.00

980.

0137

0.01

180.

0183

0.01

780.

0018

0.00

650.

0408

0.05

000.

0207

0.00

30C

omm

oditi

es0.

0000

0.01

810.

0299

0.00

230.

0089

0.00

760.

0085

0.01

100.

0148

0.00

180.

0082

0.02

750.

0207

0.07

080.

0000

Cre

dit -

Mic

rofin

ance

0.00

000.

0024

0.01

040.

0019

0.00

470.

0074

0.00

370.

0035

0.00

200.

0033

0.00

190.

0049

0.00

300.

0000

0.01

82

Ris

k0.

5%18

.0%

25.7

%7.

0%8.

7%11

.0%

9.1%

12.9

%14

.6%

12.3

%14

.1%

36.2

%22

.4%

26.6

%13

.5%

MM

USD

EQ

Wor

ldEQ

EM

FI W

orld

FI IL

FI E

MFI

CR

EFI

HY

FI C

BFI

CA

TH

FPE

RE

ITs

CO

MFI

MF

Mon

ey M

arke

t USD

1.00

0.01

-0.0

1-0

.08

-0.0

40.

00-0

.04

-0.0

40.

000.

010.

040.

060.

020.

050.

40Eq

uitie

s Wor

ld0.

011.

000.

860.

160.

400.

580.

480.

640.

750.

060.

290.

590.

770.

380.

20Eq

uitie

s EM

0.01

0.86

1.00

0.09

0.36

0.62

0.46

0.66

0.72

0.05

0.32

0.58

0.69

0.44

0.40

Gov

Bon

ds W

orld

-0.0

30.

160.

091.

000.

710.

290.

580.

140.

250.

030.

05-0

.09

0.25

0.12

0.40

Gov

Bon

ds In

flatio

n Li

nked

-0.0

70.

400.

360.

711.

000.

460.

720.

410.

440.

070.

160.

120.

510.

390.

60G

ov B

onds

EM

-0.0

30.

580.

620.

290.

461.

000.

550.

680.

580.

060.

240.

390.

560.

260.

60C

redi

t Bon

ds0.

000.

480.

460.

580.

720.

551.

000.

590.

550.

070.

200.

240.

580.

350.

50H

igh

Yie

ld B

onds

-0.0

30.

640.

660.

140.

410.

680.

591.

000.

610.

080.

260.

450.

640.

320.

40C

onve

rtib

le B

onds

-0.0

30.

750.

720.

250.

440.

580.

550.

611.

000.

070.

340.

470.

550.

380.

30C

at B

onds

0.00

0.06

0.05

0.03

0.07

0.06

0.07

0.08

0.07

1.00

0.04

0.04

0.06

0.06

0.40

Hed

ge F

unds

0.01

0.29

0.32

0.05

0.16

0.24

0.20

0.26

0.34

0.04

1.00

0.24

0.21

0.22

0.30

Priv

ate

Equi

ty0.

010.

590.

58-0

.09

0.12

0.39

0.24

0.45

0.47

0.04

0.24

1.00

0.50

0.29

0.20

RE

ITs

0.10

0.77

0.69

0.25

0.51

0.56

0.58

0.64

0.55

0.06

0.21

0.50

1.00

0.35

0.30

Com

mod

ities

0.01

0.38

0.44

0.12

0.39

0.26

0.35

0.32

0.38

0.06

0.22

0.29

0.35

1.00

0.10

Cre

dit -

Mic

rofin

ance

0.40

0.20

0.40

0.40

0.60

0.60

0.50

0.40

0.30

0.40

0.30

0.20

0.30

0.10

1.00

APPENDIX 161

Appendix– 7: Optimized portfolio weights excluding microfinance

0.5

0.75

11.

251.

52

2.5

3.25

45

710

Mon

ey M

arke

t USD

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

20.0

%20

.0%

20.0

%20

.0%

20.0

%E

quiti

es W

orld

0.0%

0.0%

3.4%

6.7%

8.2%

7.7%

7.1%

5.5%

5.1%

4.7%

4.0%

3.1%

Equ

ities

EM

81.1

%64

.3%

44.5

%31

.9%

24.5

%16

.5%

12.1

%9.

2%6.

7%4.

5%1.

7%0.

0%G

ov B

onds

Wor

ld0.

0%0.

0%0.

0%0.

0%0.

0%11

.1%

20.7

%17

.9%

23.4

%28

.3%

34.2

%38

.9%

Gov

Bon

ds In

flatio

n L

inke

d0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%G

ov B

onds

EM

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

Cre

dit B

onds

0.0%

0.0%

0.0%

0.1%

9.2%

11.5

%10

.6%

8.3%

7.8%

6.8%

4.2%

2.2%

Hig

h Y

ield

Bon

ds0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%0.

0%0.

8%3.

9%6.

2%C

onve

rtib

le B

onds

0.0%

1.7%

8.4%

11.7

%10

.2%

7.8%

6.2%

4.9%

3.9%

3.1%

1.8%

0.8%

Cat

Bon

ds0.

0%5.

3%15

.0%

20.6

%21

.8%

21.7

%21

.2%

16.8

%16

.6%

16.2

%15

.7%

15.3

%H

edge

Fun

ds0.

0%14

.5%

18.0

%20

.1%

19.7

%18

.4%

17.3

%13

.7%

13.1

%12

.5%

11.7

%11

.1%

Priv

ate

Equi

ty18

.9%

14.1

%10

.2%

7.7%

6.5%

5.3%

4.8%

3.7%

3.4%

3.1%

2.7%

2.4%

RE

ITs

0.0%

0.0%

0.5%

1.2%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

Com

mod

ities

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

Ret

urn

p.a.

11.5

9%10

.22%

8.85

%8.

02%

7.37

%6.

47%

5.90

%5.

05%

4.73

%4.

44%

4.09

%3.

83%

Ris

k p.

a.25

.42%

20.9

3%16

.66%

14.2

4%12

.45%

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164.

16

lam

bda

162 APPENDIX

Appendix– 8: Optimized portfolio weights including microfinance (quantitative approach) – risk factor set to 8.5%

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73

lam

bda

APPENDIX 163

Appendix– 9: Optimized portfolio weights including microfinance (qualitative approach) – risk factor set to 13.5%

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114.

10

lam

bda

164 APPENDIX

Appendix– 10: Optimized portfolio weights including microfinance with risk fac-tor set to 10%

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31

lam

bda

APPENDIX 165


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334.

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12

lam

bda

166 APPENDIX


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k p.

a.25

.4%

20.9

%16

.7%

14.2

%12

.4%

10.1

%8.

8%6.

9%6.

2%5.

6%5.

0%4.

7%

Shor

tfal

l in

year

s13

.00

11.3

39.

598.

537.

726.

646.

005.

014.

624.

334.

124.

12

lam

bda

bibliography - springer978-3-8349-8926-0/1.pdf · bibliography auckenthaler, c. ... barclays...

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