Portfoliooptimierung auf der Grundlage eines Marktneutralen Zweifaktormodells - eine theoretische Ableitung mit Beispielen - Theory of Optimizing Portfolios by Eliminating the Impact of the Market

The approach shows the scientific background of eliminating the market risk of an optimized portfolio and the use of marginal probabilities of ruin for optimized amounts of investments.For this reason the mathematical expectations of the parameters of the market model in the portfolio result to zero. Some practical calculations show interesting improvements of that approach

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Year of publication:	2022
Authors:	Scholtz, Hellmut D.
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Portfolio-Management \| Portfolio selection

Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Die Rentenversicherung, ISSN 0340-5753, 62. Jahrgang, rv 06.21, p. 175-185 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November , 2021 erstellt
Classification:	G11 - Portfolio Choice ; G22 - Insurance; Insurance Companies ; G23 - Pension Funds; Other Private Financial Institutions ; G29 - Financial Institutions and Services. Other ; G31 - Capital Budgeting; Investment Policy
Source:	ECONIS - Online Catalogue of the ZBW

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