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Black-Litterman-Verfahren in der Aktienanalyse: Über Alternativmodelle der Portfolio-Optimierung

Black-Litterman-Verfahren in der Aktienanalyse: Über Alternativmodelle der Portfolio-Optimierung

          
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About the Book

Studienarbeit aus dem Jahr 2015 im Fachbereich BWL - Investition und Finanzierung, Note: 1,7, Fachhochschule Bonn-Rhein-Sieg in Sankt Augustin, Sprache: Deutsch, Abstract: In dieser Arbeit wird zuerst auf den Begriff der Portfolio-Strukturierung eingegangen. Anschließend wird das grundlegende Modell von Harry Markowitz kurz vorgestellt und es werden die Probleme der Optimierung nach Markowitz dargestellt. Im folgenden Punkt wird dann ein Optimierungsmodell vorgestellt, welches die Probleme des Markowitz-Modells lösen soll, das Black-Litterman-Modell. Zuerst werden die Grundlagen dieses Verfahrens sowie die Notwendigkeit und die Zielstellung dieses Modells beschrieben. Punkt 4.3. stellt den Aufbau des Black-Litterman-Verfahrens dar, hier wird auf die einzelnen Schritte zur Berechnung des optimalen Portfolios nach Black und Litterman eingegangen. Im darauffolgenden Kapitel werden diese Schritte nochmals aufgegriffen, im Detail erklärt und anhand von mathematischen Formeln einzeln dargestellt. Das Verfahren von Black und Litterman bringt zwar viele Vorteile mit sich, jedoch auch Schwächen. Aus diesem Grund wird das Verfahren im nächsten Punkt kritisch beurteilt und die Schwächen dargelegt. Der Schlussteil stellt eine Zusammenfassung der in dieser Arbeit erarbeiteten Ergebnisse dar. Gegenstand der Portfoliotheorie ist die Frage, wie ein Investor sein Kapital bestmöglich in die im Markt vorhandenen Assets investiert. Sie gibt Handlungsempfehlungen für die Vermögensdisposition eines individuellen Investors. Die Grundlage der Portfoliotheorie lieferte Harry Markowitz im Jahr 1952 mit seinem Portfolio-Selection-Modell. Markowitz erhielt für seine Arbeit den Nobelpreis, trotzdem wird sein Modell in der Praxis nur selten verwendet. Viele Portfoliomanager sind mit der Portfoliooptimierung nach Markowitz nicht ganz zufrieden. Aus diesem Grund wird viel über Alternativmodelle diskutiert, welche die Probleme der Markowitz-Optimierung lösen könnten. Eins davon ist das Black-Litte


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Product Details
  • ISBN-13: 9783668899285
  • Publisher: Bod Third Party Titles
  • Publisher Imprint: Grin Verlag
  • Height: 210 mm
  • No of Pages: 28
  • Spine Width: 2 mm
  • Weight: 50 gr
  • ISBN-10: 3668899282
  • Publisher Date: 06 Feb 2019
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Sub Title: Über Alternativmodelle der Portfolio-Optimierung
  • Width: 148 mm


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