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Laufzeitwahl mit Break-even-Analyse und Volatilitätsstruktur: Performancesteigerung bei festverzinslichen Wertpapieren

Author

Listed:
  • Schmidt Hartmut

    (Dr. rer. oec., Universitätsprofessor in Hamburg)

  • Treske Kai

    (Dipl.-Kfm. in Hamburg)

Abstract

Wer Geld bis zu einem bestimmten Termin festverzinslich anzulegen hat, für den stellt sich häufig die Frage, ob er dennoch Anleihen mit einer diesen Anlagehorizont überschreitenden Laufzeit wählen soll. Denn die Renditen auf längerfristige Anleihen sind oft höher, und die Anleihen können zum relevanten Termin verkauft werden. Die Ansätze, die eine Antwort auf diese Frage geben, werden im Überblick dargestellt, und es wird gezeigt, daß die um Volatilitätsstrukturen ergänzte Break-even-Analyse im Zeitraum 1970-1989 zu einer Performancesteigerung geführt hätte.

Suggested Citation

  • Schmidt Hartmut & Treske Kai, 1993. "Laufzeitwahl mit Break-even-Analyse und Volatilitätsstruktur: Performancesteigerung bei festverzinslichen Wertpapieren," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 5(3), pages 139-153, September.
    • Handle: RePEc:bpj:zfbrbw:v:5:y:1993:i:3:p:139-153:n:2
    DOI: 10.15375/zbb-1993-0302
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