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Asset Allocation
Asset Allocation



An efficient management of the investment process, considered in its components, i.e. strategic decisions, portfolio choices and performance measurement and attribution, represents one of the main issues for a financial manager. The increasing complexity of financial markets demands that quantitative systems provide support for the financial decision making process.

A suitable choice of quantitative methods to analyse and support the decision making process requires a sound knowledge of both the specific features and operating conditions of each organization unit and of the most advanced quantitative techniques made available by modern financial research. In particular, easily applicable quantitative methodologies should be considered.

The research and consultancy activity promoted by GRETA focuses on the most topical subjects, from an operational point of view, related to the main aspects of the investment process, such as:


Portfolio optimization methods (both static and dynamic approaches);


Statistic and econometric models to estimate input parameters for the decision making process;


Methods for performance and risks measurement and attribution.

In greater detail, from an operational point of view, GRETA's activity is oriented towards the development of modules dedicated to:


Expected returns and variance-covariance matrices estimation;


Portfolio management techniques capable of including the economic and financial scenarios designed in the strategic asset allocation phase


The measurement and monitoring of risk, performance evaluation and attribution, both in historical and forecasting perspectives;


Portfolio management techniques based on high frequency data systems.

GRETA's long experience in the fields of both theoretical and applied research and the consultancy activity developed for financial agents enables us to guarantee a highly qualified and specifically calibrated consultancy service.

About GRETA Research Areas Products&Services

What we do
Principal clients
How to reach

Risk Management
Systemic Risk
Asset Allocation
Financial Portfolio Analysis & Evaluation
Option Pricing
Scenario Analysis
Statistical Research

Monthly Econometric Financial International Model - MEFIM
Econometric Financial Regional Model - MEFR
Global Asset Model - GAM
GRETA Pension Fund Performance - GRETA-PFP
GRETA Regional Econometric Model - GREM

Events Pubblications  
Sovereign Bond Markets Conferences
CREDIT Conferences
JAE 2005

Recent pubblications
Old GRETA Working Papers

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