Portfoliomodell zur Elimination des systematischen Risikos (Optimization of Portfolios for Eliminating Systematic Risk)

2015, Corporate Finance, 6.Jahrgang, Heft 3, März, p. 83-91.

17 Pages Posted: 16 Nov 2014 Last revised: 6 Jul 2015

Hellmut D. Scholtz

Independent

Date Written: November 12, 2014

Abstract

German Abstract: Angesichts der politischen und wirtschaftlichen Turbulenzen am Aktienmarkt stellt sich die Frage, ob es trotz umfassender Portfolioliteratur neuere Wege gibt, die Problematik des systematischen Risikos bei Aktienanlagen wesentlich zu mindern. Die folgende Arbeit leitet ein hierfür geeignetes und einfach zu handhabendes Portfoliomodell ab. Damit können die Auswirkungen fallender Kurse des Marktes in einem optimierten Portfoliomix eliminiert werden. Die These von der Nicht-Diversifizierbarkeit des systematischen Risikos scheint insoweit relativiert.

English Abstract: The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy long/sell short strategy that takes into account, that the market model is kinky. The equation of the market model – including a beta plus for increasing markets and a beta minus for descending markets – seems to be more qualified for this reason. The following approach shows the derivation of equations for an optimal configuration of a mix of stocks. These equations and some examples and figures of optimized portfolios – including some tests of significance – support strategies for investments in leveraged portfolios also. The approach seems to modify the meaning of "nondiversifiable-risk" of the market risk.

Notes: Downloadable document is in German.

Keywords: market neutrality, alpha strategy, risk insurance, avoiding ruin, nondiversifiable-risk

JEL Classification: G11, G22, G23, G29, G31

Suggested Citation

Scholtz, Hellmut D., Portfoliomodell zur Elimination des systematischen Risikos (Optimization of Portfolios for Eliminating Systematic Risk) (November 12, 2014). 2015, Corporate Finance, 6.Jahrgang, Heft 3, März, p. 83-91.. Available at SSRN: https://ssrn.com/abstract=2523505 or http://dx.doi.org/10.2139/ssrn.2523505

Hellmut D. Scholtz (Contact Author)

Independent ( email )

No Address Available

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