ökonomische Wert einer dynamischen Volatilitäts-Timing-Strategie im Portfoliokontext
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ökonomische Wert einer dynamischen Volatilitäts-Timing-Strategie im Portfoliokontext

ökonomische Wert einer dynamischen Volatilitäts-Timing-Strategie im Portfoliokontext


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About the Book

Masterarbeit aus dem Jahr 2015 im Fachbereich VWL - Finanzwissenschaft, Note: 1,0, Universität Augsburg (Institut für Statistik und Mathematische Wirtschaftstheorie), Veranstaltung: Finanzmarktökonometrie, Sprache: Deutsch, Abstract: Das Volatilitäts-Timing verkörpert in Hinblick auf das Portfoliomanagement ein Erfolg versprechendes Forschungsgebiet. Im Gegensatz zu den Markt-Timing-Strategien, die sich größtenteils auf die Schätzungen zukünftiger Renditen anhand verschiedener Input-Parameter stützen, liegt der Schwerpunkt von Volatilitäts-Timing-Strategien auf der Bestimmung der optimalen Portfoliogewichte. Grundlage dafür sind Schätzungen von den zeitlich schwankenden Varianzen sowie Kovarianzen der Portfoliovermögenswerte. Zahlreiche wissenschaftliche Forschungen belegen, dass auf Prognosen der erwarteten Renditen basierende Strategien auf kurzfristige Sicht keine effektiven Ergebnisse liefern bzw. nach der Einberechnung der Transaktionskosten in der Regel keinen ökonomischen Mehrwert erzielen. Die Schätzungen von Renditen sind häufig durch bedeutende Schätzfehler gekennzeichnet. Demzufolge kann das Handeln auf Grundlage solcher Daten negative Konsequenzen für die Asset-Allokation im Portfolio mit sich bringen. Dagegen existiert eine Vielzahl von Studien, welche die Möglichkeiten der Prognostizierbarkeit des zweiten zentralen Moments der Verteilung in den Fokus rücken. Derartige Schätzungen führen oftmals zu wesentlich besseren Schätzergebnissen und eignen sich darüber hinaus besonders gut für kürzere Zeiträume. In Bereichen wie Portfolio- oder Risikomanagement repräsentieren die Möglichkeiten der Prognosen von Volatilitäten ein sehr beachtliches Themengebiet, das immer mehr an Bedeutung gewinnt. Die Volatilität gehört zu den mit Abstand entscheidendsten Elementen hinsichtlich der Portfoliosteuerung. In diesem Zusammenhang müssen auch die Korrelationen zwischen den einzelnen Assets des Portfolios geschätzt werden. Die vorliegende Masterarbeit thematisiert sowo


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Product Details
  • ISBN-13: 9783668206199
  • Publisher: Grin Verlag
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 6 mm
  • Width: 148 mm
  • ISBN-10: 3668206198
  • Publisher Date: 29 Jun 2016
  • Height: 210 mm
  • No of Pages: 90
  • Series Title: German
  • Weight: 181 gr


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ökonomische Wert einer dynamischen Volatilitäts-Timing-Strategie im Portfoliokontext
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