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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.