The management of asset portfolios is a core business activity of any institutional investor. One has to periodically check the respective allocation and adapt it to new situations. The ior/cf-HSG supports institutional investors in their strategic and tactical asset allocation by means of the software package DEVA (Dynamische Erwartungswert/Varianz-Analyse = Dynamic risk/return analysis) in order to better assess market risks and sustainedly improve the performance in their portfolio management incorporating aspects like market frictions, stochastic volatilities, and portfolio rebalancing.
The software bases on a stochastic optimization approach that takes account of future rebalancing activities, transaction costs, and regime switches at the financial markets. The integrated additional module 'DEVA market' generates estimates for the risk/return structures at the financial markets and hence a central input for the optimization. The version 'DEVA+L' supports a liability-based asset management that analyses the diversification potential of the available assets factoring in the stochastic dynamic of liabilities. 'DEVA+B' finally assists investors in tracking a benchmark.