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Portfolioallokation: Einbezug verschiedener Assetklassen

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  • Herz, Christian
  • Neunert, Daniela
  • Will, Sebastian
  • Wolf, Niko J.
  • Zwick, Tobias
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    Abstract

    Die Stabilität der Europäischen Währungsunion ist durch die derzeit angespannte Haushaltslage und den hohen Verschuldungsgrad einiger Mitgliedstaaten in Frage gestellt. Diese Arbeit untersucht die Auswirkungen verschiedener (Krisen-)Szenarien auf das Portfolio eines durchschnittlichen deutschen Privatanlegers. Zum Zweck der Anlageoptimierung wird die Entwicklung des varianzminimalen Portfoliooptimierungsansatzes nach Markowitz und einer Gleichgewichtungsmethode (1/n-Heuristik) mit fünf ausgewählten Anlageklassen analysiert. Anschließend werden die Entwicklungen der Portfolios über verschiedene Zeiträume für drei vergangenheitsorientierte Szenarien betrachtet. Im Ergebnis kann festgestellt werden, dass das heuristische Portfolio und das Minimum-Varianz-Portfolio (MVP) die durchschnittlichen Privatanlegerportfolios im Bad-Case-Szenario sowohl in Bezug auf die Rendite als auch auf die Volatilität dominieren. Da die untersuchten Privatanlegerportfolios exklusiv aus Aktien- und Rentenwerten bestehen, weisen sie im Good-Case- und Mid-Case-Szenario höhere Renditen als die Benchmark-Portfolios, aber gleichzeitig auch eine höhere Volatilität auf. Insgesamt kann abgeleitet werden, dass eine Anlage in Gold und insbesondere in Währungen die Portfolios stabilisiert. Die Darstellung eines Portfolios mit geringer Volatilität könnte daher vereinfachend und transparent mittels des heuristischen Portfolios umgesetzt werden. -- High levels of public debt have recently unsettled the European Monetary Union. This paper examines the effect of different downside scenarios on the portfolio of an average German investor. To identify the right asset allocation, this paper analyzes the minimal variance portfolio optimization according to Markowitz as well as a heuristic method (whereby each asset class is weighted equally) with five different asset classes. Subsequently, the analysis examines the development of these portfolios for three historic scenarios over different periods of time. In summary, this paper concludes that investments in the heuristic portfolio and in the minimum variance portfolio provide both a higher return and lower volatility in the bad case scenario, compared to the average portfolio of a private investor. Since the portfolios of private investors exclusively comprise shares and bonds, these portfolios display a higher return, yet also higher volatility, in the good case and mid case scenarios. Overall, analysis reveals that allocations into gold and especially into currencies stabilize the portfolios of an average German investor. As a result, the 1/n-heuristic method offers a simplified and transparent way to design a low volatility portfolio.

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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 2012-01.

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    Date of creation: 2012
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    Handle: RePEc:zbw:bayfat:201201

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    Keywords: Portfolio Management; Asset Allocation; Private Geldanlage; Risikominimierung;

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    17. repec:sae:niesru:v:165:y::i:1:p:66-82 is not listed on IDEAS
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