| Acknowledgements | 6 |
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| Brief Contents | 7 |
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| Table of Contents | 8 |
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| Abstract | 12 |
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| Zusammenfassung | 13 |
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| List of Figures | 14 |
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| List of Abbreviations | 17 |
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| 1 Introduction | 19 |
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| 1.1 General motivation | 19 |
| 1.2 Research questions | 21 |
| 1.3 Outline | 21 |
| 2 Asset Allocation Framework | 23 |
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| 2.1 Asset allocation | 23 |
| 2.2 Portfolio theory | 26 |
| 2.2.1 Mean-variance concept | 27 |
| 2.2.2 Shortfall concept | 30 |
| 2.3 Investors’ utility preference and categorization | 34 |
| 2.3.1 Private investors | 35 |
| 2.3.2 Institutional investors | 37 |
| 2.4 Asset allocation requirements | 39 |
| 2.5 Summary | 40 |
| 3 Scenario Approach in Asset Allocation | 42 |
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| 3.1 Idea of scenario analysis | 42 |
| 3.2 The scenario process | 45 |
| 3.3 Critical assessment of the scenario approach | 48 |
| 3.4 Examples of scenario analyses | 51 |
| 3.4.1 Scenario analysis “The future of the global financial system” | 52 |
| 3.4.2 Scenario analysis “European energy security 2020” | 55 |
| 3.5 Combining scenario approach and asset allocation | 59 |
| 3.6 Summary | 63 |
| 4 Microfinance | 64 |
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| 4.1 Introduction to microfinance | 64 |
| 4.1.1 Evolution of microfinance | 64 |
| 4.1.2 Definitions and categories | 65 |
| 4.2 Microfinance market from an investment perspective | 67 |
| 4.2.1 Market overview | 67 |
| 4.2.2 Microfinance users | 69 |
| 4.2.3 Microfinance institutions | 71 |
| 4.2.4 Microfinance investment vehicles | 75 |
| 4.2.5 Microfinance service providers | 78 |
| 4.3 Market situation | 80 |
| 4.3.1 Current market conditions | 80 |
| 4.3.2 Impact of financial crisis | 83 |
| 4.3.3 Market potential | 86 |
| 4.4 Microfinance investments – insights and quantitative analysis | 88 |
| 4.4.1 Dexia Microcredit Fund | 88 |
| 4.4.2 responsAbility Global Microfinance Fund | 92 |
| 4.4.3 Structured products | 93 |
| 4.4.4 ProCredit Holding | 94 |
| 4.5 Microfinance investments in an asset allocation framework | 95 |
| 4.6 Summary | 97 |
| 5 Scenario Process Microfinance | 99 |
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| 5.1 Setup | 99 |
| 5.1.1 Defining the goal | 99 |
| 5.1.2 Methodology | 100 |
| 5.1.3 Setup of process | 101 |
| 5.1.4 Team selection and participants | 103 |
| 5.2 The process | 107 |
| 5.2.1 Preparations | 107 |
| 5.2.1.1 Field of study | 107 |
| 5.2.1.2 Introduction evening | 107 |
| 5.2.2 Workshop I | 108 |
| 5.2.2.1 Impact factors | 108 |
| 5.2.2.2 Factor projections | 109 |
| 5.2.2.3 Classification of descriptors | 110 |
| 5.2.2.4 Scenarios | 111 |
| 5.2.2.5 Wild card scenario and incidents | 120 |
| 5.2.3 Workshop II | 121 |
| 5.2.3.1 Derivation of implications | 122 |
| 5.2.4 Closing day | 128 |
| 5.2.4.1 Indicators and signposts | 128 |
| 5.2.4.2 Scenario process feedback | 129 |
| 5.3 Implications of scenario process microfinance for asset allocation | 131 |
| 5.3.1 Parameters for the asset allocation framework Return estimate | 131 |
| 5.3.2 Costs of a scenario process | 135 |
| 5.4 Summary | 135 |
| 6 Asset Allocation Model | 137 |
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| 6.1 Data and assumptions | 137 |
| 6.1.1 Selection of asset classes and data | 137 |
| 6.1.2 Input parameters for portfolio optimization | 140 |
| 6.1.2.1 Return estimates | 140 |
| 6.1.2.2 Risk and correlation parameters | 141 |
| 6.2 Asset allocation optimization excluding microfinance | 146 |
| 6.3 Asset allocation optimization including microfinance | 147 |
| 6.3.1 Optimization with quantitative microfinance parameters | 147 |
| 6.3.2 Optimization with qualitative microfinance parameters | 149 |
| 6.4 Implication for asset allocation | 150 |
| 6.4.1 Cross-comparison of portfolios | 150 |
| 6.4.2 Cross-comparison of portfolio backtests | 153 |
| 6.4.3 Implications for investors | 154 |
| 6.4.4 Microfinance investment limitations | 156 |
| 6.5 Summary | 156 |
| 7 Conclusion | 158 |
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| 7.1 Summary of results | 158 |
| 7.2 Outlook and implications | 160 |
| Bibliography | 162 |
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| Interviews | 171 |
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| Appendix | 172 |
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