Berlin 2005 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 8: Poster Session

AKSOE 8.10: Poster

Montag, 7. März 2005, 14:00–15:30, Poster TU E

Investigation on risk of a CAPM-portfolio — •vladimir reznik und uli willibald spreitzer — Dr. Dr. Heissmann GmbH, Abraham-Lincoln-Str. 22, 65189 Wiesbaden

We investigate a portfolio, consisting of an investment without risk and an investment with a variable rate of return. We use “lower partial moments” to calculate the loss. We investigate the relation between the loss of the portfolio and several parameters, as construction of the portfolio, rate of return of the investment, variance of investment etc.