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Dokumenttyp:
Buchbeitrag 
Autor(en):
Scheuenstuhl, G.; Zagst, R. 
Kooperation:
Titel:
Optimal Optioned Portfolios with Confidence Limits on Shortfall Constraints 
Abstract:
In this paper we examine the problem of managing portfolios consisting of both, stocks and options. Due to the resulting asymmetric portfolio return distribution we do not use mean variance analysis but represent the preferences of the investors in terms of confidence limits on downside risk measures. For the simultaneous optimization of the stock and option positions we derive portfolios with a maximum expected return under a given preference structure expressed by shortfall constraints. To ide...    »
 
Seitenangaben Beitrag:
1497-1517 
Herausgeber:
Albrecht, P. 
Buchtitel:
Aktuarielle Ansätze für Finanzrisiken, Vol. II 
Intellectual Contribution:
Contribution to Practice 
Verlag / Institution:
Verlag Versicherungswirtschaft 
Jahr:
1996 
Sprache:
en 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Kategorie:
textbook