Berlin 2005 – scientific programme
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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 14: Financial Markets and Risk Management II
AKSOE 14.2: Talk
Wednesday, March 9, 2005, 14:30–15:00, TU P-N203
On optimization of CAPM-Portfolios by calculation and underwriting the loss — •Uli willibald spreitzer1, Vladimir reznik1 und Thomas riepl2 — 1Dr. Dr. Heissmann GmbH, Abraham-Lincoln-Str. 22, 65189 Wiesbaden — 2Thomas-Mann-Straße 22, 93077 Bad Abbach
For a portfolio, consisting of an investment without risk and an investment with variable return we calculate the loss by “lower partial moments”. We show constellations, when it is preferable to invest in the investment with variable rate of return and to safeguard the possible loss of this investment by an insurance. We discuss this for different insurance premiums.