Multi-period portfolio optimisation for structured investment strategies

A key element of finding the optimal portfolio is the assessment of the probability distribution of portfolio returns at individual time steps using multi-period, multivariate Monte Carlo simulations. In modern financial markets – especially in the wake of the financial crisis – it becomes crucial to model the time evolution of complex structured products individually before putting them in the context of broader asset allocations. In this way, financial advisers can choose the appropriate level of transparency, enhancing the intuitive element of the investment decision-making – as it is strongly advocated by both the final investors and the international regulators – and revealing the added-value contribution of the wealth management industry.