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Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes

  • Fäßler, Robert
  • Kraus, Christina
  • Weiler, Sebastian M.
  • Abukadyrova, Kamila
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    Im Rahmen der bestehenden Portfoliotheorie wird zur Risikobewertung auf Normalverteilungsannahmen der Renditen oder Korrelationen aus historischen Daten zurückgegriffen. In den Finanzkrisen der Jahre 2008/09 stiegen jedoch die Korrelationen zwischen risikobehafteten Kapitalanlagen stark an. Zugleich wiesen deren Renditen Ausreißer im negativen Bereich auf, für die eine Normalverteilungsannahme keinen Erklärungsgehalt birgt. Deshalb wird in dieser Arbeit unter Anwendung des State Preference Ansatzes eine Möglichkeit zur impliziten Ermittlung der Wahrscheinlichkeitsannahmen und der Risikoeinstellung des Kapitalmarktes vorgestellt. Hierzu wird eine quadratische Payoff Matrix aus den Marktpreisen der Kapitalanlagen im Januar 2011 und deren Rückflüssen in einem spezifizierten zukünftigen Zeitpunkt erstellt. Die Rückflüsse werden über einen multivariaten Regressionsansatz für fest definierte makroökonomische Umweltzustände prognostiziert. Es zeigt sich, dass die Zustandpreisverteilung des Kapitalmarktes nach dem Prinzip arbitragefreier Märkte als Näherungslösung ermittelt werden kann und die Risikoeinstellung des Kapitalmarktes aufzeigt. Durch die Adjustierung der Rückflüsse mit dem risikolosen Zinssatz und dem kapitalanlagespezifischen Risikoaufschlag können die Zustandspreise beispielhaft als wahre Wahrscheinlichkeiten des Kapitalmarktes in das Modell des Minimum-Varianz-Portfolios übertragen und unter festgelegten Annahmen zur Darstellung und Optimierung von Portfolios verwendet werden.

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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 2011-03.

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    Date of creation: 2011
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    Handle: RePEc:zbw:bayfat:201103
    Contact details of provider: Postal: Universitätsstraße 30, 95440 Bayreuth
    Web page: http://www.fiba.uni-bayreuth.de/de/index.html

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