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Risikoprferenzen fr zeitoptimale Portfolioselektion

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Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783834989161
Condition
New
Product Description

In den Modellen zur zeitoptimalen Portfolioselektion legt der Anleger einen angestrebten Portfoliowert fest. Dabei wird angenommen, dass sich seine Prferenzen ber Wahrscheinlichkeitsverteilungen von Zielerreichungszeiten bis zum erstmaligen Erreichen des Zielwerts beschreiben lassen. Martin Bouzaima analysiert diese Risikoprferenzen und legt Grundlagen zur entscheidungstheoretischen Fundierung von Prferenzfunktionen. Seine Ergebnisse deuten darauf hin, dass Risikofreude die Standardrisikoneigung ber Zielerreichungszeiten ist. Dies beeinflusst z.B. die Spezifikation von Regeln stochastischer Dominanz und die Charakterisierung effizienter, zeitoptimaler Portfolios.

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