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Portfoliooptimierung nach Black-Litterman by Skiba, Philip

Portfoliooptimierung nach Black-Litterman

by Philip Skiba
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Book cover type: Paperback
  • ISBN13: 9783638768900
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Publication Date:
  • Pages: 28
  • Original Price: USD 26.9
  • Language: German
  • Edition: N/A
  • Item Weight: 50 grams
  • BISAC Subject(s): Finance / General

Studienarbeit aus dem Jahr 2006 im Fachbereich BWL - Investition und Finanzierung, Note: 1,3, Technische Universit�t Carolo-Wilhelmina zu Braunschweig (Institut f�r Wirtschaftswissenschaften, insbesondere Finanzwirtschaft), Sprache: Deutsch, Abstract: Die Modernen Portfoliotheorie basiert auf dem 1952 publizierten Portfolio Selection Modell von Markowitz, dessen Grundansatz in vielf�ltigen Verfeinerungen und Erweiterungen das moderne Anlage- und Investmentmanagement bestimmt. Obwohl dieses Modell als Grundsatz der modernen Portfoliotheorie in der wissenschaftlichen Literatur anerkannt ist, kann es sich in Form eines Portfolio-Optimierungsmodells nicht im angewandten Asset Management durchsetzten. Ausgehend von dieser Problemstellung entwickelten Fisher Black und Robert Litterman Anfang 1990 einen eigenst�ndigen Ansatz. Dieser ist bestrebt die bestehenden Probleme der klassischen Portfoliotheorie zu bew�ltigen und die Methoden der quantitativen Portfoliooptimierung f�r den praktischen Einsatz im Asset Management brauchbar zu machen. Ausgangspunkt des Modells ist nicht das undefinierte Nullportfolio wie in der klassischen Portfoliooptimierung, sondern das so genannte Gleichgewichts- oder Referenzportfolio. Des Weitern verschafft das Verfahren dem Anleger die M�glichkeit individuelle Abweichungen seiner Renditevorstellungen von den vorliegenden Referenzwerten auf konsistente Weise in das Modell zu integrieren. Im Folgenden f�hrt diese Arbeit zun�chst den Leitgedanken des Markowitz Ansatz aus und stellt die mit der klassischen Portfoliooptimierung verbundenen Schw�chen dar. Im Anschluss wird der Black-Litterman-Ansatz prinzipiell und formaltheoretisch beschrieben, wobei auf verhaltens�konomische sowie anwendungsbezogene Aspekte eingegangen wird.

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