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Stabilität von Diversifikationseffekten im Markowitz-Modell

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Author Info

  • Nicolai Bissantz

    ()

  • Verena Steinorth

    ()

  • Daniel Ziggel

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11943-011-0101-7
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    Bibliographic Info

    Article provided by Springer in its journal AStA Wirtschafts- und Sozialstatistisches Archiv.

    Volume (Year): 5 (2011)
    Issue (Month): 2 (August)
    Pages: 145-157

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    Handle: RePEc:spr:astaws:v:5:y:2011:i:2:p:145-157

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    Web page: http://www.springerlink.com/content/120614/

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    Related research

    Keywords: Modellwahl; Portfoliooptimierung; Risikomanagement; C52; G11; G32; Model selection; Portfolio optimization; Risk management;

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    References

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    1. Sebastian Dickgiesser & Christoph Kaserer, 2010. "Market Efficiency Reloaded: Why Insider Trades do not Reveal Exploitable Information," German Economic Review, Verein für Socialpolitik, vol. 11, pages 302-335, 08.
    2. Zhongjun Qu & Pierre Perron, 2007. "Estimating and Testing Structural Changes in Multivariate Regressions," Econometrica, Econometric Society, vol. 75(2), pages 459-502, 03.
    3. Krämer, Walter & van Kampen, Maarten, 2011. "A simple nonparametric test for structural change in joint tail probabilities," Economics Letters, Elsevier, vol. 110(3), pages 245-247, March.
    4. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
    5. Frennberg, Per & Hansson, Bjorn, 1993. "Testing the random walk hypothesis on Swedish stock prices: 1919-1990," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 175-191, February.
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    Cited by:
    1. Hans Brachinger, 2011. "Vorwort des Herausgebers," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer, vol. 5(2), pages 77-79, August.

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