Performance- und Risikomessung bei Hedgefonds by Katharina Scharfen
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Performance- und Risikomessung bei Hedgefonds

Performance- und Risikomessung bei Hedgefonds


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About the Book

Per 01. Januar 2004 hat der Gesetzgeber die notwendigen Rahmenbedingungen für Deutschland geschaffen und die Nutzung der Hedgefonds als neue Anlageform ermöglicht. Um ein allgemeines Verständnis für die Anlageform der Hedgefonds zu erhalten wird zuersteinmal der Begriff "Hedgefonds", die historische Entwicklung und Abgrenzungsmöglichkeiten zu traditionellen Investmentfonds vorgestellt. Darüber hinaus wird auf die rechtliche Sitiuation in Deutschland eingegangen. Weiter werden die unterschiedlichen Handelsstrategien vorgestellt, wobei eine Einteilung in fünf verschiedene Hauptkategorien erfolgt. Es werden die einzelnen Strategien in ihrer Funktionsweise erklärt. Darüber hinaus werden verschiedene praxirelevante Rendite- und Risikokennzahlen, sowie Risiko- und Performancemaße beschrieben und erläutert. Auch werden drei verschiedene statistische Tests beschrieben, die es ermöglichen eine Aussage über die Verteilung der Renditen eines Hedgefonds zu treffen. Im Speziellen wird erläutert, wie getestet wird, ob eine Normalverteilung der Renditen vorliegt. Ein weiteres Kapitel beschäftigt sich mit dem Themengebiet der Copulas. Copulas können zur Analyse von Diversifikationseigenschaften hergezogen werden. Zunächst erfolgt eine Definition der Copula Funktion und die Vorstellung verschiedener Copula Familien. Zudem wird das Log-Likelihood-Schätzverfahren zur Schätzung von Coplua Funktionen beschrieben. Das letzte Kapitel gibt einen kurzen Ausblick auf weitere interessante Fragestellungen im Themengebiet der Hedgefonds.
About the Author: Katharina Scharfen, Studium der Wirtschaftsmathematik an der Fachhochschule Koblenz, Standort Remagen. Abschluss im Juni 2008 mit dem akademischen Grad Diplom-Mathematikerin (FH).


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Product Details
  • ISBN-13: 9783836665735
  • Publisher: Diplomica Verlag Gmbh
  • Publisher Imprint: Diplomica Verlag Gmbh
  • Height: 254 mm
  • No of Pages: 74
  • Series Title: German
  • Weight: 195 gr
  • ISBN-10: 3836665735
  • Publisher Date: 03 Sep 2008
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 4 mm
  • Width: 178 mm


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