Portfoliooptimierungsanalyse. Theorie und empirische Untersuchung
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Portfoliooptimierungsanalyse. Theorie und empirische Untersuchung

Portfoliooptimierungsanalyse. Theorie und empirische Untersuchung


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About the Book

Akademische Arbeit aus dem Jahr 2006 im Fachbereich BWL - Bank, Börse, Versicherung, Note: 1,0, Duale Hochschule Baden-Württemberg, Ravensburg, früher: Berufsakademie Ravensburg, Sprache: Deutsch, Abstract: Im Zuge der stetig zunehmenden weltweiten Verflechtungen wandeln sich auch Finanzmärkte zu global integrierten, stark vernetzten Märkten. Dieser Trend ist Ursache dafür, dass in den letzten Jahrzehnten steigende Korrelationen der Renditen der traditionellen Assetklassen Aktien, Renten und Immobilien festgestellt werden konnten. Ein zunehmender Gleichlauf von Aktien-, Renten- und Immobilienmärkten ist gleichzeitig mit einem Rückgang des Diversifikationseffektes eines Portfolios auf Basis der traditionellen Anlagen verbunden. Konsequenzen dieses Zusammenhangs zeigen sich insbesondere in Phasen schwacher Aktienmärkte. (...) Die Baisse an den weltweiten Aktienmärkten und niedrige Anleiherenditen führten im Zeitraum von 2000 bis 2003 dazu, dass ein klassisch zusammengestelltes Portfolio nicht mehr die in der Vergangenheit für selbstverständlich gehaltene Verzinsung des eingesetzten Kapitals erwirtschaften konnte. Dies hat gezeigt, dass eine Vermögensaufteilung nach den bisherigen Kriterien nicht mehr zeitgemäß ist. Auch gegenwärtig wird aufgrund der Tatsache, dass die Gefahren an den Finanzmärkten in jüngster Zeit deutlich zugenommen haben, ein Anstieg der Volatilität und damit des Risikos an den Finanzmärkten erwartet. Das Grundmodell, auf welchem die Arbeit aufbaut, stellt die Portfolio Selection-Theorie von Markowitz dar. Neben dieser Theorie wird zudem die Modellmodifikation durch Tobin betrachtet, da diese den Anforderungen und Gegebenheiten in der Praxis gerechter zu werden scheint. Der zweite Abschnitt bildet die empirische Untersuchung. Dabei erfolgt einleitend eine Beschreibung der Annahmen und Datengrundlagen, auf denen die später dargestellte Optimierungsrechnung basiert. In einem weiteren Schritt werden die in der Untersuchung berücksichtigten Asse


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Product Details
  • ISBN-13: 9783656716471
  • Publisher: Grin Verlag Gmbh
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Weight: 118 gr
  • ISBN-10: 3656716471
  • Publisher Date: 09 Sep 2014
  • Height: 210 mm
  • No of Pages: 42
  • Spine Width: 3 mm
  • Width: 148 mm


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Portfoliooptimierungsanalyse. Theorie und empirische Untersuchung
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Portfoliooptimierungsanalyse. Theorie und empirische Untersuchung
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