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Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen

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  • Becker, Christoph
  • Wystup, Uwe

Abstract

Bei der Altersvorsorge von Privatanlegern ergibt sich in der derzeitigen Marktsituation die Frage nach der Einführung von Anlageprodukten mit Garantien. Garantien können sich auf das Kapital oder auf eine Mindestrendite beziehen. Produktvarianten können Fonds oder Zertifikate sein. Aus Furcht vor Markt-Crashs oder Asset-Melt-down Phänomenen verlangt mancher Anleger Garantieprodukte. Wir analysieren die Marktsituation, die Verbreitung von Produkten, identifizieren die drei wesentlichen Garantieprodukte Bonus, Performance und CPPI und untersuchen in einem Sprungdiffusionsmodell die Renditen dieser Produkte über einen 25-Jahres-Anlagehorizont. Im Ergebnis erweisen sich die drei Produkte einerseits attraktiv, da sie unter teilweise geringer Abweichung von risikofreier Rendite immer noch 50% der Rendite eines Vergleichsindex erwirtschaften, zum anderen als etwas spröde, da sie im Vergleich zu aktiv gesteuerten Aktienportfolien oft weit weniger als die Hälfte der Rendite erzielen. Für die langfristige Kapitalanlage wird damit eine Garantie sehr teuer erkauft.

Suggested Citation

  • Becker, Christoph & Wystup, Uwe, 2008. "Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen," CPQF Working Paper Series 8, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
  • Handle: RePEc:zbw:cpqfwp:8
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    More about this item

    Keywords

    Altersvorsorge; Garantiefonds; Asset-Melt-down; Sparpläne; CPPI;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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