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Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke

Listed author(s):
  • Mario Brandtner


    (Friedrich-Schiller-Universität Jena)

Registered author(s):

    Zusammenfassung Der Beitrag behandelt Probleme und Anwendungspotenziale bei der Übertragung der originär regulatorisch geprägten spektralen Risikomaße, einschließlich des Conditional Value-at-Risk als ihrem prominentesten Vertreter, in den Kontext betriebswirtschaftlicher Entscheidungsprobleme. Dabei werden zwei Grundformen von restriktiven, und ökonomisch unplausiblen, Randlösungstendenzen oder ,,Plunging“ offengelegt. Die erste Form von Randlösungen wird unmittelbar durch die regulatorische Axiomatik induziert und ist allen spektralen Risikomaßen inhärent. Sie bewirkt etwa, dass bei der optimalen Vermögensaufteilung zwischen einer risikofreien und einer riskanten Anlage niemals diversifiziert wird. Eine zweite Form von Randlösungen geht auf das spezielle Risikospektrum des Conditional Value-at-Risk zurück. Im Kontext optimaler Versicherungsentscheidungen mittels stop-loss-Kontrakt führt dieses dazu, dass die Versicherung bei Verwendung spektraler Risikomaße als Zielfunktion entweder gar nicht oder nur zum minimalen Selbstbehalt abgeschlossen wird. Ähnliche Schwächen finden sich auch in anderen Anwendungen, etwa bei der der Ermittlung optimaler Bestellmengen im Newsvendor-Modell. Wir können zeigen, dass diese zweite Form von Randlösungstendenzen bereits innerhalb der Klasse der spektralen Risikomaße, etwa durch die Anwendung der Subklasse der power spektralen Risikomaße anstelle des Conditional Value-at-Risk, behoben werden kann.

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    Article provided by Springer & Vienna University of Economics and Business in its journal Management Review Quarterly.

    Volume (Year): 66 (2016)
    Issue (Month): 2 (April)
    Pages: 75-115

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    Handle: RePEc:spr:manrev:v:66:y:2016:i:2:d:10.1007_s11301-015-0116-1
    DOI: 10.1007/s11301-015-0116-1
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