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Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes


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  • Fäßler, Robert
  • Kraus, Christina
  • Weiler, Sebastian M.
  • Abukadyrova, Kamila
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    Im Rahmen der bestehenden Portfoliotheorie wird zur Risikobewertung auf Normalverteilungsannahmen der Renditen oder Korrelationen aus historischen Daten zurückgegriffen. In den Finanzkrisen der Jahre 2008/09 stiegen jedoch die Korrelationen zwischen risikobehafteten Kapitalanlagen stark an. Zugleich wiesen deren Renditen Ausreißer im negativen Bereich auf, für die eine Normalverteilungsannahme keinen Erklärungsgehalt birgt. Deshalb wird in dieser Arbeit unter Anwendung des State Preference Ansatzes eine Möglichkeit zur impliziten Ermittlung der Wahrscheinlichkeitsannahmen und der Risikoeinstellung des Kapitalmarktes vorgestellt. Hierzu wird eine quadratische Payoff Matrix aus den Marktpreisen der Kapitalanlagen im Januar 2011 und deren Rückflüssen in einem spezifizierten zukünftigen Zeitpunkt erstellt. Die Rückflüsse werden über einen multivariaten Regressionsansatz für fest definierte makroökonomische Umweltzustände prognostiziert. Es zeigt sich, dass die Zustandpreisverteilung des Kapitalmarktes nach dem Prinzip arbitragefreier Märkte als Näherungslösung ermittelt werden kann und die Risikoeinstellung des Kapitalmarktes aufzeigt. Durch die Adjustierung der Rückflüsse mit dem risikolosen Zinssatz und dem kapitalanlagespezifischen Risikoaufschlag können die Zustandspreise beispielhaft als wahre Wahrscheinlichkeiten des Kapitalmarktes in das Modell des Minimum-Varianz-Portfolios übertragen und unter festgelegten Annahmen zur Darstellung und Optimierung von Portfolios verwendet werden. -- In context of the existing Portfolio Theory the valuation of risk is based on the normal distribution of return or correlation based on historical data. During the Financial Crisis in 2008/09 the correlation between assets that carried risks increased. In addition the return of those assets were partly negative even though the assumption of Gaussian distribution offered no explanation. By identifying this problem, this working paper offers a possibility to use the implicit probabilities and the risk assessment of the capital markets by using the State Preference Theory. Therefore a squared Payoff Matrix is created by the market prices of chosen assets in January 2011 and their returns in point in time t1. The returns are forecasted using a multivariable regression which applies for exactly defined macro-economic conditions. It is shown, that the state prices of the capital markets can be determined as approximate value that shows the risk accommodation using the principle of arbitrage free markets. By discounting the returns with the risk free rate and the asset specific risk premium the state prices can be shown for example as true probabilities of the capital markets. These probabilities can be transferred into the minimum-variance portfolio which can be used to optimize Portfolios by using specific presumptions.

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    Paper provided by University of Bayreuth, Chair of Finance and Banking in its series Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) with number 2011-03.

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    Date of creation: 2011
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    Handle: RePEc:zbw:bayfat:201103

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