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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 10.17: Poster

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

Investigation on CAPM-portfolios built by agents with insufficient knowledge of the market — •Vladimir reznik and uli willibald spreitzer — Dr. Dr. Heissmann GmbH, Abraham-Lincoln-Str. 22, 65191 Wiesbaden

In the CAPM model [1] and the ’standard’ optimization the portfolio is optimized with respect to the rate of return minus κ times the volatility or variance. The quality of the optimization depends from the knowledge of the characteristics of the assets (shares, bonds etc.) within the portfolio. Assuming a market of two agents, who assume wrong values of the assets - nevertheless both agents together are in accordance with the market - we investigate the portfolios, they built caused by these wrong assumptions. Assuming, that the two agents represent a market, we investigate this ’wrong’ portfolio of the market compared to a portfolio, which is built according to CAPM and correct assumptions on the assets. Considering this at different times and for different wrong assumptions, we calculate the differences of the composition and the rate of return of the portfolio and the effect on the assets.

[1] Sharpe, W.F.: Capital Asset Prices: A Theory of Market Equilibrium under conditions of risk. The Journal of finance Vol. 19. S. 425-42