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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 8: Poster Session
AKSOE 8.10: Poster
Monday, March 7, 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.