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Über kurz oder lang : welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?

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  • Klos, Alexander
  • Langer, Thomas
  • Weber, Martin

Abstract

Die Frage, wie das Risiko einer Investition durch den Anlagehorizont beeinflusst wird, ist insbesondere im Rahmen von Altersvorsorgeentscheidungen von zentraler Bedeutung. In der Anlagepraxis wird häufig auf das Gesetz der großen Zahlen verwiesen, das dafür sorgt, dass eine hinreichend langfristige Investition fast sicher die positive Durchschnittsrendite der Anlage realisiert und damit praktisch risikolos wird. Dem entgegen stehen theoretische Überlegungen, die z.B. aus Sicht der Erwartungsnutzentheorie eine Irrelevanz des Anlagehorizontes propagieren. Ziel der vorliegenden Arbeit ist es, die wichtigsten Argumente in der Diskussion zwischen Praktikern und Theoretikern strukturiert darzustellen, die Ursachen der unterschiedlichen Ergebnisse herauszuarbeiten und damit zu einer Klärung des Sachverhalts beizutragen. Dabei soll auch verdeutlicht werden, warum die Irrelevanz des Anlagehorizontes kein allgemeines Resultat der Erwartungsnutzentheorie ist, sondern auf einer sehr speziellen Annahmenkonstellation berut. Durch eine Erweiterung der Modelle um Aspekte wie Background-Risiko und autokorrelierte Renditen wird die erwartungsnutzenbasierte Analyse nicht nur praxisnäher, sie führt auch zu differenzierteren und keineswegs stets im Widerspruch zur Praktikermeinung stehenden Ergebnissen.

Suggested Citation

  • Klos, Alexander & Langer, Thomas & Weber, Martin, 2002. "Über kurz oder lang : welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?," Papers 02-49, Sonderforschungsbreich 504.
  • Handle: RePEc:mnh:spaper:2782
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