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Optimales Hedging von Währungskrisen bei internationaler Aktienanlage

Optimales Hedging von Währungskrisen bei internationaler Aktienanlage

          
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About the Book

Inhaltsangabe: Zusammenfassung: Im Portfoliomanagement gewinnen internationale Anlagestrategien zunehmend an Bedeutung. Niedrigere Interdependenzen internationaler Kapitalmärkte untereinander als auf den einzelnen nationalen Märkten ermöglichen ceteris paribus eine Reduktion der Volatilität, d. h. des Gesamtrisikos, eines länderübergreifenden Portfolios. Ein entscheidender Faktor, der die währungsraumübergreifende Aktienanlage von der rein nationalen unterscheidet, ist das Währungsrisiko als neue Risikokomponente. Dabei führt das zusätzliche Währungsrisiko jedoch nicht zwangsläufig zu einer Steigerung des Portfoliorisikos. Zudem kann sich der Investor durch den Verkauf von Devisen auf Termin weitgehend gegen Wechselkursschwankungen absichern. Diese Arbeit untersucht den Einfluss des Währungsrisikos auf das Chancen-/Risikoprofil von Strategien der internationalen Aktienanlage aus der Sicht eines deutschen Investors. Statische und dynamische Handelsstrategien für eine Aktienanlage mit Währungsrisiko und eine Aktienanlage mit vollständiger oder teilweiser Absicherung gegen Wechselkursschwankungen werden entwickelt und anhand der ex post erzielten risikoadjustierten Renditen bewertet. Als Benchmark dient dabei eine wohl diversifizierte Aktienanlage im heimischen Markt. Zentrale Fragestellungen sind, ob das Währungsrisiko als zusätzliche Risikokomponente die internationale Diversifikation unattraktiv macht sowie ob und wie Währungsrisiken abgesichert werden sollten. Die Untersuchung bezieht sich auf den Zeitraum von 06/1995 bis 05/2003. Sowohl die Ex-post- wie auch die Schätzrisiken einbeziehende Ex-ante-Untersuchung bestätigen eindrucksvoll die überlegene Performance einer Diversifikationsstrategie über die untersuchten Märkte (Deutschland, Großbritannien, Hongkong, Japan, Kanada, Schweiz, USA). Durch Absicherung des Wechselkursrisikos kann das Chancen-/Risikoprofil nochmals deutlich gesteigert werden. Wegen der Fehleranfälligkeit der Schätzung der Inputvariablen sind


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Product Details
  • ISBN-13: 9783838675152
  • Publisher: Diplom.de
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 5 mm
  • Width: 148 mm
  • ISBN-10: 3838675150
  • Publisher Date: 08 Dec 2003
  • Height: 210 mm
  • No of Pages: 84
  • Series Title: German
  • Weight: 122 gr


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