Dresden 2006 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)

AKSOE 10.16: Poster

Mittwoch, 29. März 2006, 16:00–18:00, P2

Investigation on optimization of portfolios by different methods — •uli willibald spreitzer and vladimir reznik — Dr. Dr. Heissmann GmbH, Abraham-Lincoln-Str. 22, 65191 Wiesbaden

Using portfolios consisting of shares and bonds we investigate different optimization methods and the effects on the portfolios. The optimization methods we used were the standard optimization (maximization of rate of return minus ( λ times volatility or variance)) and rate of return minus ( κ times the expected loss (or premium to safeguard this loss)). The later one, the lower partial moments method, is based on works of Fishburn [1] and our works [2]. The standard method results in portfolios which have a lower rate of return of the portfolio (for large λ ) or have more risk (for small λ ) compared to portfolios which are optimized by the lower partial moments method. This can be shown for different kind and shares and bonds.

[1] Fishburn, P., Mean-risk analysis with risk associated with below-target returns; American Economic Review; 1977; 67, 116-26

[2] Reznik, V., Spreitzer U. W.; An investigation of a portfolio-loss under CAPM; Proceedings of the 15th AFIR colloquium Zuerich CH; 6-9, 2005, Session B6: pensions