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Auswirkungen der Risikomessmethode auf die Anlageperformance – Eine empirische Untersuchung für den Fall definierter Risikolimite in der Planungsrechnung anhand des DAX

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  • Michael Pohl

Abstract

Risikomessmodelle werden als Controllinginstrumente hinsichtlich ihrer Güte oft einseitig unter reinen Risikogesichtspunkten getestet. Der Einfluss, den sie auf die Anlageperformance besitzen, wird dabei in der Regel vernachlässigt. Der vorliegende Beitrag zeigt den konzeptionellen Zusammenhang zwischen Risikomessmodellen und Anlageperformance auf und weist ihn empirisch nach. Dabei wird deutlich, dass die Anwendung von Normalverteilungsannahme, historischer Simulation und impliziter Volatilität zur Risikomessung im Rahmen von Limitsystemen zu deutlich unterschiedlichen Portfoliorenditen bei gleichem Portfoliorisiko führen kann. In einer Betrachtung des Risikomanagements aus Performancesicht kann somit erhebliches Potential liegen. Copyright Springer-Verlag 2010

Suggested Citation

  • Michael Pohl, 2010. "Auswirkungen der Risikomessmethode auf die Anlageperformance – Eine empirische Untersuchung für den Fall definierter Risikolimite in der Planungsrechnung anhand des DAX," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 21(1), pages 59-80, June.
    • Handle: RePEc:spr:metrik:v:21:y:2010:i:1:p:59-80
    DOI: 10.1007/s00187-010-0087-2
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