Dresden 2014 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 6: Poster Session

SOE 6.3: Poster

Monday, March 31, 2014, 18:00–20:00, P2

Comparison of risk optimized portfolios to the underlying market — •Alexander Eckrot, Jan Jurczyk, and Ingo Morgenstern — Universität Regensburg, Regensburg, DE

Optimized portfolios of stocks regarding the mean return and risk were created by means of simulated annealing. The portfolios consist of a few assets out of 111 stocks of the german market. We compare the performance of these portfolios for different optimization parameters. Furthermore the risk of the german stock index DAX will be compared to the risk of the portfolios for different market phases (stable market and crisis). For this comparison, we use two different measurements of risk: the standard deviation and the value at risk.