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A Beta-return Efficient Portfolio Optimisation Following the CAPM

An Analysis of International Markets and Sectors

  • Book
  • © 2015

Overview

Authors:
  1. Markus Vollmer

    1. Controlling, Feinkost Böhm GmbH, Stuttgart, Germany

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  • Publication in the field of economic sciences
  • Includes supplementary material: sn.pub/extras

Part of the book series: BestMasters (BEST)

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Table of contents (5 chapters)

  1. Front Matter

    Pages I-XIV
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  2. Introduction

    • Markus Vollmer
    Pages 1-4

  3. Literature Review

    • Markus Vollmer
    Pages 5-32

  4. Research Methodology

    • Markus Vollmer
    Pages 33-44

  5. Analysis & Discussion

    • Markus Vollmer
    Pages 45-74

  6. Conclusions, Limitations & Outlook

    • Markus Vollmer
    Pages 75-79

  7. Back Matter

    Pages 81-124
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Keywords

About this book

Investors are trying to generate excess returns through active investment strategies. Since the outbreak of the financial crisis, investors face a situation where increased risks are accompanied by falling key interest rates. An optimal portfolio in terms of risk and return becomes a perpetual motion machine. Markus Vollmer answers the question how the seemingly impossible could still be achieved by an empirical analysis of historical data of 1’800 stocks listed at equity markets in 24 countries covering all 19 super sectors. The author offers valid and reliable findings by using the previously mentioned data proxy. He reveals purposefully the need for further research and simultaneously he derives specific and applicable guidelines for the design of investment strategies which are extremely exciting for both the institutional expert and the private investor.

Authors and Affiliations

  • Controlling, Feinkost Böhm GmbH, Stuttgart, Germany

    Markus Vollmer

About the author

In addition to his lectureship for investment, corporate finance and risk management at the University of Applied Sciences in Stuttgart (HFT Stuttgart), Markus Vollmer presides over the controlling department at a medium-sized company.

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