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Diversifikations- und »Downside Protection-Potenzial« von Rohstoffportfolios in Multi-Asset- Portfolios

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Zusammenfassung

Seit dem wegweisenden Aufsatz von Markowitz (1952) ist bekannt, dass durch Diversifikation die erwartete Portfoliorendite gesteigert und dabei gleichzeitig das Risiko, gemessen an der Volatilität, gesenkt werden kann. Trotzdem kann es für Investoren sinnvoll sein, nicht blind weitere Anlageklassen in ihr Portfolio aufzunehmen, ohne im Vorfeld ihre Eigenschaften sorgfältig zu prüfen. Eine naive Allokation von neuen Anlageklassen kann, muss aber nicht unbedingt die Rendite- und Risikoeigenschaften des Portfolios verbessern, es könnte sie auch verschlechtern. Daher stellt sich die Frage, ob Rohstoffe wirklich die (risiko-adjustierte) Performance von Multi-Asset-Portfolios steigern können und wenn ja, wie stark sie in einer strategischen Asset Allocation zu berücksichtigen sind. Diese Frage soll unter Verwendung von unterschiedlichen Rohstoffbenchmarks sowie für diverse Risikomaße beantwortet werden, um robuste Aussagen ableiten zu können.

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Authors
  1. Lars Helge Haß
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  2. Denis Schweizer
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Editor information

Roland Eller Markus Heinrich René Perrot Markus Reif

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© 2010 Gabler | GWV Fachverlage GmbH

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Haß, L.H., Schweizer, D. (2010). Diversifikations- und »Downside Protection-Potenzial« von Rohstoffportfolios in Multi-Asset- Portfolios. In: Eller, R., Heinrich, M., Perrot, R., Reif, M. (eds) Management von Rohstoffrisiken. Gabler. https://doi.org/10.1007/978-3-8349-8562-0_18

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