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Entwicklung Eines Quantitativ Technischen Wertsicherungsmodells ALS Erg Nzung Zu Traditionellen Wertsicherungskonzepten

Entwicklung Eines Quantitativ Technischen Wertsicherungsmodells ALS Erg Nzung Zu Traditionellen Wertsicherungskonzepten


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About the Book

Bachelorarbeit aus dem Jahr 2010 im Fachbereich BWL - Investition und Finanzierung, Note: 1,30, Duale Hochschule Baden-W rttemberg, Stuttgart, Horb, fr her Berufsakademie Stuttgart; Horb, Sprache: Deutsch, Abstract: Vermehrt streben Anleger nach Konzepten, die einen Kapitalschutz beinhalten und das pro-aktive Risikomanagement in den Vordergrund r cken. Die bisherigen Wertsicherungsmodelle reagieren gr tenteils sehr prozyklisch, das hei t sie reagieren bei ansteigendenM rkten zu sp t und vermindern den Anteil am Risikoasset in fallenden M rkten erst mit einer zeitlichen Verz gerung. Durch die dynamische Portfolioallokation l sst sich dieser Effekt zwar vermindern, dies f hrt zum Teil zu einer sehr gravierende Minderperformance gegen ber der gew hlten Benchmark aufzeigen. Die Absicherungsmechanismen m ssen teuer erkauft werden, was zu einer weniger starken Partizipation an steigenden Kursen f hrt. Die Anleger erwarten jedoch eine stetige, hohe Partizipationan steigenden Kursen bei gleichzeitiger Risikoabsicherung. Dies ist in der Praxis kaum realisierbar, da mit einer h heren Rendite laut Definition ein h heres Risiko einhergehen muss. Das Portfolio, mit der geringsten Unsicherheit wird daher auch nur einen sehr kleinen wahrscheinlichen R ckfluss aufweisen. berrenditen lassen sich dementsprechend nur mit einem h heren Risiko erzielen.Das erkl rte Ziel der Bachelor-Thesis ist, eine quantitativ technische Portfolioallokation vorzunehmen, die dem Investor eine hohe Partizipation an steigenden M rkten erm glicht, bei gleichzeitiger Verlustbegrenzung im Falle sinkender M rkt. Die Problemstellung der vorliegenden Arbeit fokussiert sich auf den langfristigen Werterhalt des angelegten Verm gens bei Benchmark orientierter Rendite gelegt.Der Autor wagt den Versuch, anhand des quantitativ technischen Handelsmodells das Timing von Ein- und Ausstiegszeitpunkten zu optimieren. Durch die fr hzeitige Signalgenerierunglassen sich fatale Verluste vermeiden und das Portfoliorisiko


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Product Details
  • ISBN-13: 9783640880805
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Height: 210 mm
  • Spine Width: 5 mm
  • Width: 148 mm
  • ISBN-10: 3640880803
  • Publisher Date: 01 Apr 2011
  • Binding: Paperback
  • Language: German
  • Weight: 122 gr


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Entwicklung Eines Quantitativ Technischen Wertsicherungsmodells ALS Erg Nzung Zu Traditionellen Wertsicherungskonzepten
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