Publicação
Investment policy statement individual investors: Mr & Mrs Kern
| Resumo: | This Investment Policy Statement (IPS) defines the long-term investment strategy for Mr. and Mrs. Kern, a German couple in their early sixties transitioning from inherited rental real estate to a diversified financial portfolio. Their objective is to achieve financial independence and stability through systematic, evidence-based portfolio management aligned with their conservative risk tolerance and Environmental Social Governance (ESG) preferences. The IPS targets a gross annual withdrawal of €30,000 over a 10-year horizon, proposing a portfolio with calculated returns of 11.66% while maintaining annualized volatility of 10.33% and downside deviation of 6.05%. Portfolio constraints include a maximum drawdown of 15%, extendable to 50% for ESG-compliant investments. The portfolio avoids leverage, single stocks, and short-selling, reflecting the clients’ preference for capital preservation and simplicity. Grounded in modern portfolio theory, behavioral finance, and impact investing principles, the investment philosophy emphasizes passive, low-cost Exchange Traded Funds (ETFs) and exposure to sustainable and alternative assets. Strategic asset allocation is optimized using the Sortino Ratio, prioritizing downside risk control and long-term growth potential. The final portfolio consists of 11 diversified assets, including equity, fixed income, commodities, ESG and alternative investments. Comprehensive risk analysis, including Value at Risk (VaR), Monte Carlo simulations, stress testing, and a qualitative Probability/Impact Risk Matrix, ensures portfolio resilience against extreme market conditions and sequence-of-return risk. This IPS offers a robust, ethically aligned investment roadmap tailored to the Kern family's values, objectives, and financial circumstances. |
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| Autores principais: | Obert, Lutz |
| Assunto: | Asset Management Alternative Investment IPS Individual Investor ESG MonteCarlo Simulation Sortino Ratio Optimization Gestão de Ativos Investimento Alternativo IPS Investidor Individual ESG Simulação de Monte Carlo Otimização do Rácio de Sortino |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | This Investment Policy Statement (IPS) defines the long-term investment strategy for Mr. and Mrs. Kern, a German couple in their early sixties transitioning from inherited rental real estate to a diversified financial portfolio. Their objective is to achieve financial independence and stability through systematic, evidence-based portfolio management aligned with their conservative risk tolerance and Environmental Social Governance (ESG) preferences. The IPS targets a gross annual withdrawal of €30,000 over a 10-year horizon, proposing a portfolio with calculated returns of 11.66% while maintaining annualized volatility of 10.33% and downside deviation of 6.05%. Portfolio constraints include a maximum drawdown of 15%, extendable to 50% for ESG-compliant investments. The portfolio avoids leverage, single stocks, and short-selling, reflecting the clients’ preference for capital preservation and simplicity. Grounded in modern portfolio theory, behavioral finance, and impact investing principles, the investment philosophy emphasizes passive, low-cost Exchange Traded Funds (ETFs) and exposure to sustainable and alternative assets. Strategic asset allocation is optimized using the Sortino Ratio, prioritizing downside risk control and long-term growth potential. The final portfolio consists of 11 diversified assets, including equity, fixed income, commodities, ESG and alternative investments. Comprehensive risk analysis, including Value at Risk (VaR), Monte Carlo simulations, stress testing, and a qualitative Probability/Impact Risk Matrix, ensures portfolio resilience against extreme market conditions and sequence-of-return risk. This IPS offers a robust, ethically aligned investment roadmap tailored to the Kern family's values, objectives, and financial circumstances. |
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