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Portfoliooptimierung nach dem Black-Litterman-Ansatz

Portfoliooptimierung nach dem Black-Litterman-Ansatz

          
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About the Book

Studienarbeit aus dem Jahr 2018 im Fachbereich BWL - Bank, Börse, Versicherung, Sprache: Deutsch, Abstract: Ziel dieser Arbeit ist, den Black-Littermann-Ansatz vorzustellen und zu analysieren, ob es sich bei dem quantitativen Ansatz von Black und Litterman um eine Portfoliooptimierung handelt. Zuerst werden als Basis die Gründe für die Entwicklung des Ansatzes herausgearbeitet. Anschließend wird der BL-Ansatz formal und mathematisch vorgestellt. Die Umsetzung mit Excel erfolgt, bevor der BL-Ansatz unter Einbeziehung des Excel-Beispiels analysiert wird. Die wissenschaftliche Studie von Fischer Black und Robert Litterman mit dem Titel "Global Portfolio Optimization", welche im Jahr 1992 im "Financial Analyst Journal" veröffentlicht wurde, stellt den Black-Litterman-Ansatz vor, welcher die moderne Portfoliotheorie weiterentwickeln will. Die Grundlage für die moderne Portfoliotheorie wurde bereits in den 1950er Jahren durch die "Portfolio Selection Theory" von Harry M. Markowitz gelegt, welche durch Diversifikation zwei Ziele verfolgt: eine maximale Portfoliorendite bei einem gleichzeitig minimalen Portfoliorisiko. Dieser wissenschaftlich anerkannte Ansatz genügt den finanzwirtschaftlichen Ansprüchen nicht, denn die "Portfolio Selection Theory" reagiert bei kleinen Änderungen der Eingabeparameter Risiko und Rendite äußerst sensibel und führt zu extremen Portfoliogewichten. In der Praxis gab es zahlreiche Diskussionen zwischen qualitativ fundamental geprägten Portfoliomanagement und quantitativen Methoden, denn die Anwendung quantitativer Methoden ist mit Problemen verbunden. Black und Litterman entwickelten mit ihrer Modifikation für Goldman Sachs ein robustes Optimierungsverfahren, welches das Verhalten der Manager realistisch einbezieht. Sie wollen mit ihrem Ansatz, der die Kombination von Referenzrenditen mit subjektiven Prognosen


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Product Details
  • ISBN-13: 9783346067500
  • Publisher: Bod Third Party Titles
  • Publisher Imprint: Grin Verlag
  • Height: 210 mm
  • No of Pages: 28
  • Spine Width: 2 mm
  • Width: 148 mm
  • ISBN-10: 3346067505
  • Publisher Date: 28 Oct 2019
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Weight: 50 gr


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