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Portfolioselektion mit Shortfallrisikomaßen
Albrecht, Peter - 2001
Die klassische, von Markowitz entwickelte, Portfoliotheorie basiert auf spezifischen Risikomaßen, der Renditevarianz bzw. der Renditestandardabweichung. Diese Risikomaße messen primär die Volatilität der Renditeentwicklung...
Persistent link: https://www.econbiz.de/10005842338
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A Heuristic Approach to Portfolio Optimization
Kellezi, Evis; Gilli, Manfred - 2000
The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.
Persistent link: https://www.econbiz.de/10005843226
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Optimal Dynamic Trading Strategies with Risk Limits
Couco, Domenico; He, Hua; Issaenko, Sergei - 2001
This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an …
Persistent link: https://www.econbiz.de/10005843396
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Die Performance deutscher AktienfondsLassen sich Selektions- und Timingfähigkeiten nachweisen und hat dieWahl des Performancemaßes einen Einfluss auf die Beurteilung?
Rottmann, Horst; Franz, Thomas - Hochschule für Angewandte Wissenschaften <Amberg - 2008
Neben den klassischen Performancemaßen, wie der Sharpe-Ratio, der Treynor-Ratio und dem Jensen-Alpha wurden in den letzten Jahrzehnten weiterführende Ansätze für die Analyse und Bewertung vonKapitalanlagen entwickelt. Die moderneren Performancemaße verlangen keine Konstanz derRisikomaße...
Persistent link: https://www.econbiz.de/10005866098
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Aspiration formation and satisficing in isolated and competitive search
Güth, Werner; Martin, Ev; Weiland, Torsten - Sonderforschungsbereich Gesellschaftliche Entwicklungen … - 2006
We experimentally explore individual and interactive decision making ina sequential search task and test whether generally accepted principles ofbounded rationality (aspiration formation, satisficing, and aspiration adjustment)adequately explain the observed search behavior. Subjects can, at...
Persistent link: https://www.econbiz.de/10005864267
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Nonmyopic Optimal Portfolios in Viable Markets
Cvitanić, Jakša; Malamud, Semyon - National Centre of Competence in Research - Financial … - 2010
the single state variable follows ageneral diusion process and the market consists of one risky asset and a risk … positive (negative) when the product of his prudence and risk toleranceis below (above) 2 and (ii) the portfolio weights … decrease in risk aversion. Weapply our results to study a general continuous-time capital asset pricing modeland show that …
Persistent link: https://www.econbiz.de/10009486979
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A Non-Bayesian Approach to (Un)BoundedRationality
Güth, Werner - Max-Planck-Institut für Ökonomik <Jena> / Abteilung … - 2007
Can one define and test the hypothesis of (un)bounded rationality instochastic choice tasks without endorsing Bayesianism? Similar to the state specificity of assets, we rely on state-specific goal formation. In a given choice task, the list of state-specific goal levels is optimal if one cannot...
Persistent link: https://www.econbiz.de/10005866596
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Aspiration formation and satisficing in isolated and competitive search
Güth, Werner; Martin, Ev; Weiland, Torsten - Max-Planck-Institut für Ökonomik <Jena> / Abteilung … - 2006
We experimentally explore individual and interactive decision making ina sequential search task and test whether generally accepted principles ofbounded rationality (aspiration formation, satisficing, and aspiration adjustment)adequately explain the observed search behavior. Subjects can, at...
Persistent link: https://www.econbiz.de/10005866656
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Hypothesis Testing in Econometrics
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - National Centre of Competence in ResearchFinancial … - 2009
This paper reviews important concepts and methods that are useful for hypothesis testing.First, we discuss the Neyman-Pearson framework. Various approaches to optimalityare presented, including finite-sample and large-sample optimality. Then, some of the mostimportant methods are summarized, as...
Persistent link: https://www.econbiz.de/10005868540
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Zur Messung von Finanzrisiken
Albrecht, Peter - 2003
Risiko liegt begründet in der unvollständigen Information über zukünftige Zustände. Das Phänomen des Risikos … durchdringt praktisch alle Bereiche des menschlichen Lebens. Risiko berührt eine Vielzahl ökonomischer, politischer, sozialer und …
Persistent link: https://www.econbiz.de/10005842080