Berlin 2005 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 14: Financial Markets and Risk Management II

AKSOE 14.2: Vortrag

Mittwoch, 9. März 2005, 14:30–15:00, TU P-N203

On optimization of CAPM-Portfolios by calculation and underwriting the loss — •Uli willibald spreitzer¹, Vladimir reznik¹ und Thomas riepl² — ¹Dr. Dr. Heissmann GmbH, Abraham-Lincoln-Str. 22, 65189 Wiesbaden — ²Thomas-Mann-Straße 22, 93077 Bad Abbach

For a portfolio, consisting of an investment without risk and an investment with variable return we calculate the loss by “lower partial moments”. We show constellations, when it is preferable to invest in the investment with variable rate of return and to safeguard the possible loss of this investment by an insurance. We discuss this for different insurance premiums.