DPG Phi
Verhandlungen
Verhandlungen
DPG

Regensburg 2007 – scientific programme

Parts | Days | Selection | Search | Downloads | Help

AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 4: Poster Session (posters are expected to be displayed the full day (9:00-18:00)

AKSOE 4.1: Poster

Monday, March 26, 2007, 16:30–18:00, Poster D

Using Lower partial moments for optimization of portfolios — •Uli Spreitzer and Vladimir reznik — Dr. Dr. Heissmann GmbH, 65189 Wiesbaden

We use the coherent measure of risk the so called lower partial moments to optimize a portfolio consisting of risky and non risky assets.

We compare with a portfolio optimization based on VaR or standard deviation as measure of risk.

We show results for several portfolios built from assets (DAX) and goverment bonds. Also we compare our results with several funds.

100% | Mobile Layout | Deutsche Version | Contact/Imprint/Privacy
DPG-Physik > DPG-Verhandlungen > 2007 > Regensburg