Dresden 2009 – wissenschaftliches Programm
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AGSOE: Arbeitsgruppe Physik sozio-ökonomischer Systeme
AGSOE 4: Financial Markets and Risk Management III
AGSOE 4.2: Vortrag
Montag, 23. März 2009, 14:30–15:00, BAR 205
Double risks portfolio optimization problem for pension funds — •Uli Spreitzer1 and Vladimir Reznik2 — 1Bonus Pensionskasse, 1060 Vienna, Austria — 2Watson Wyatt, 65189 Wiesbaden, Germany
It is obvious, that an optimization with respect to minimize e.g. the downside- risk can effect an increase of the risk, that the rate of return is below a priori guarantied rate of return. And vice versa an optimization with minimization of the risk e.g. , that the rate of return is below a priori guarantied rate of return can result in, that the downside-risk is not optimized. We will show a theory of optimization of several combinations of two measures of risk, as competitiors risk, downside risks, guarantied rate risk.