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Maslowian Portfolio Theory. A Coherent Approach to Strategic Asset Allocation

maandag, 30 januari, 2012 - 17:00
Campus: Brussels Humanities, Sciences & Engineering campus
Faculteit: Social Sciences and Solvay Business School
Philippe De Brouwer

Much research has been devoted to a better understanding of financial markets. Much less
studies are available about how to adapt an investment portfolio to the needs of a person.
Actually, Markovitz'
mean-variance criterion (that he formulated in 1952) is still the dominant line of thinking. This
paradigm where each investor has one investment portfolio, that should cater for all investment
goals, was also the basis of recent legislation such as MiFID.

This PhD puts financial investment into perspective: the investor's perspective. The result is a
new normative portfolio theory which confirms Behavioural Portfolio Theory, draws attention to
the importance of asset-liability matching, and offers a natural framework for investor-adviser
dialogue and mathematical portfolio optimization.

In this system investment goals, not investor psychology, drive investment advice; "risk"
depends on the goal (often inflation-linked), and may be different in each sub-portfolio. Hence
the ruling paradigm in which each investor has a single risk profile can be a misleading and
dangerous simplification.

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