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Style Analyse im Fondsmanagement

Author

Listed:
  • Bernard Michael Gilroy

    (UPB - Universität Paderborn)

  • Vladyslav Mykhalskyy

    (UPB - Universität Paderborn)

  • Volker Seiler

    (University of Liverpool)

Abstract

Die Style Analyse ist ein Verfahren zur Replikation eines aktiv gemanagten Fonds mit Hilfe eines passiven Tracking Portfolios. Dazu wird mit der quadratischen Programmierung ein Verfahren der nicht-linearen Optimierung genutzt. Die vorliegende Arbeit erklärt die Grundidee der Style Analyse und zeigt anhand eines konkreten Beispiels, wie die Style Analyse in Microsoft Excel implementiert werden kann.

Suggested Citation

  • Bernard Michael Gilroy & Vladyslav Mykhalskyy & Volker Seiler, 2017. "Style Analyse im Fondsmanagement," Post-Print hal-04079430, HAL.
    • Handle: RePEc:hal:journl:hal-04079430
    DOI: 10.15358/0340-1650-2017-2-3
    as

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