Berlin 2008 – wissenschaftliches Programm
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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme
AKSOE 13: Poster Session (posters on display 10:00-19:00)
AKSOE 13.14: Poster
Mittwoch, 27. Februar 2008, 17:30–19:00, Poster G
Optimization of portfolios with longer investment period — •Uli Spreitzer2 and Vladimir Reznik1 — 1WatsonWyattHeissmann Deutschland GmbH, Wiesbaden — 2Beltios GmbH, Munich; ’on leave from institute’
We investigate the optimization of portfolios with the investment I done periodically (n-times) with a period Δt1, and the investment is been hold after the last investment for a time Δt2 much larger than nΔt1. We show that, when using the µ - kσ optimization for the portfolio one has to consider, that σ is time dependent. Considering different assets (shares) with the same σ(Δt2) the investment in the asset is preferable with the highest σ(Δt1). That means, that portfolio optimization with the measure of risk as µ - kσ and the cost average effect holds best for assets with σ(Δt1) large and s(Δt2) small. Also this shows, that one should add a measure of risk for the investment process. With respect to Solvency II, this means, that different measures of risk for different business processes should be applied.