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Downside-Effizienz

  • Peter ReichlingEmail author
  • Gordon Schulze
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Zusammenfassung

führt die Downside-Momente (Lower Partial Moments) als Risikomaß ein, die die Renditeverteilung unterhalb der vorgegebenen Zielrendite betrachten. Lower Partial Moments lassen sich mit den stochastischen Dominanzkriterien verknüpfen und sind unter geringen Anforderungen an die Risikopräferenzen entscheidungstheoretisch fundierbar. Die Effizienzlinien im Koordinatensystem aus erwarteter Rendite und Lower Partial Moment ab der Ordnung eins weisen dabei für riskante Finanztitel die aus der Markowitz’schen Portfolioselektion geläufige Gestalt auf.

Die Analyse täglicher Renditen der 30 DAX-Werte für die Jahre 2009 bis 2014 zeigt, dass die Unterschiede zwischen volatilitäts- und Downside-Risiko-minimalen Portfolios gering ausfallen. Gleiches gilt bei der Performancemessung von 15 etablierten deutschen Aktienfonds über den gleichen Zeitraum anhand der Sharpe Ratio.

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© Springer Fachmedien Wiesbaden GmbH 2017

Authors and Affiliations

  1. 1.Otto-von-Guericke-UniversitätMagdeburgDeutschland
  2. 2.Lehrstuhl für Finanzierung und BankenOtto-von-Guericke-UniversitätMagdeburgDeutschland

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