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Portfoliomanagement:

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Bibliographische Detailangaben
Beteilige Person:	Spremann, Klaus 1947- (VerfasserIn)
Format:	Buch
Sprache:	Deutsch
Veröffentlicht:	München [u.a.] Oldenbourg 2006
Ausgabe:	3., überarb. und erg. Aufl.
Schriftenreihe:	International Management and Finance
Schlagwörter:	Portfoliomanagement Portfolio Selection Lehrbuch
Links:	http://deposit.dnb.de/cgi-bin/dokserv?id=2828038&prov=M&dokØvar=1&dokØext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014860639&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XI, 675 S. Ill., graph. Darst.
ISBN:	9783486579390 3486579398

Internformat

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Datensatz im Suchindex

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adam_text	Inhalt Teil 1. Vermögensverwaltung.......................................................................................1 1.1 Portfolio und Asset-Klassen...................................................................................1 1.2 Organisation........................................................................................................18 1.3 Kundensegmente.................................................................................................26 1.4 Konklusion...........................................................................................................34 2. Portfoliomanagement.......................................................................................37 2.1 Vier Stile..............................................................................................................37 2.2 Portfoliotheorie.....................................................................................................48 2.3 Konklusion...........................................................................................................58 3. Rendite..............................................................................................................61 3.1 Rendite................................................................................................................61 3.2 Erwartungsbildung...............................................................................................73 3.3 Konklusion...........................................................................................................87 4. Risiko.................................................................................................................91 4.1 Risiko nach Markowitz.......................................................................................91 4.2 Risiko nach ROY..................................................................................................99 4.3 Konklusion.........................................................................................................115 5. Empirische Forschung...................................................................................119 5.1 Schätzungen......................................................................................................119 5.2 Schätzfehler.......................................................................................................130 5.3 Modellfehler.......................................................................................................139 5.4 Konklusion.........................................................................................................145 6. Informationseffizienz......................................................................................149 6.1 Informationseffizienz..........................................................................................149 6.2 Stolpersteine......................................................................................................162 6.3 Arbeiten mit Daten.............................................................................................167 6.4 Konklusion.........................................................................................................172 X Teil 7. Effiziente Portfolios (Markowitz)..................................................................177 7.1 7.2 Die Effizienzkurve für n > 2................................................................................190 7.3 Konklusion.........................................................................................................215 8. Kapitalmarktlinie 8.1 Die Kapitalmarktlinie..........................................................................................223 8.2 Tobin-Separation...............................................................................................231 8.3 Musterportfolios — Zur Praxis...........................................................................244 8.4 Musterportfolios — Berechnung........................................................................251 8.5 Konklusion.........................................................................................................263 9. Marktportfolio.................................................................................................267 9.1 Ermittlung des Marktportfolios...........................................................................267 9.2 Das Tangentialportfolio......................................................................................285 9.3 Naive Diversifikation..........................................................................................291 9.4 Konklusion.........................................................................................................296 10. CAPM 10.1 Das CAPM und sein Beweis............................................................................301 10.2 Spezifikation des Marktportfolios.....................................................................324 10.3 Empirische Tests des CAPM...........................................................................331 10.4 Das Faktor-Modell...........................................................................................346 10.5 Konklusion.......................................................................................................355 11. Performance..................................................................................................359 11.1 Grundsätzliches...............................................................................................359 11.2 Risikoadjustierung...........................................................................................375 11.3 Konklusion.......................................................................................................395 12. Bedingte Optimierung..................................................................................399 12.1 Grundlagen der Entscheidungstheorie............................................................399 12.2 Das klassische Mean-Variance-Kriterium........................................................411 12.3 Bedingte Optimierung......................................................................................424 12.4 Konklusion.......................................................................................................437 INHALT Teil 13. Kontinuierliche Zeit......................................................................................441 13.1 Arbeitsplan.......................................................................................................441 13.2 Stetige Rendite und 13.3 13.4 Konklusion.......................................................................................................474 14. Zeithorizont-Effekte......................................................................................479 14.1 Vorbereitung....................................................................................................479 14.2 Shortfall-Ansatz...............................................................................................483 14.3 Institutioneller Investor und Aufsicht................................................................494 14.4 Konklusion.......................................................................................................505 15. 15.1 Erwartungsnutzen............................................................................................509 15.2 Sicherheitsäquivalent und Risikoaversion.......................................................516 15.3 Deskriptive Entscheidungstheorie...................................................................529 15.4 Konklusion.......................................................................................................534 16. Samuelson-Modell........................................................................................537 16.1 Vorbereitung....................................................................................................537 16.2 Samuelson-Modell...........................................................................................543 16.3 Konklusion.......................................................................................................550 17. Optionen........................................................................................................553 17.1 Terminkontrakte...............................................................................................553 17.2 Finanzoptionen................................................................................................570 17.3 Optionsbewertung............................................................................................579 17.4 Konklusion.......................................................................................................593 18. 18.1 Prozyklisches Investment................................................................................607 18.2 Antizyklisches Investment................................................................................623 18.3 Langfristige Wirkungen von PPB und CCW....................................................629 18.4 Konklusion.......................................................................................................640 19. Fazit...............................................................................................................643 19.1 Passives oder aktives Portfoliomanagement?.................................................635 19.2 Nochmals Empfehlungen.................................................................................650 19.3 Epilog...............................................................................................................660 19.4 Verzeichnisse..................................................................................................665 19.5 Sachworte.......................................................................................................669
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id	DE-604.BV021645930
illustrated	Illustrated
indexdate	2024-12-20T12:38:28Z
institution	BVB
isbn	9783486579390 3486579398
language	German
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-014860639
oclc_num	162343448
open_access_boolean
owner	DE-12 DE-19 DE-BY-UBM DE-1049 DE-91 DE-BY-TUM DE-1051 DE-473 DE-BY-UBG DE-703 DE-573 DE-M347 DE-739 DE-83 DE-188 DE-2070s
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physical	XI, 675 S. Ill., graph. Darst.
publishDate	2006
publishDateSearch	2006
publishDateSort	2006
publisher	Oldenbourg
record_format	marc
series2	International Management and Finance
spellingShingle	Spremann, Klaus 1947- Portfoliomanagement Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd
subject_GND	(DE-588)4115601-8 (DE-588)4046834-3 (DE-588)4123623-3
title	Portfoliomanagement
title_auth	Portfoliomanagement
title_exact_search	Portfoliomanagement
title_full	Portfoliomanagement von Klaus Spremann
title_fullStr	Portfoliomanagement von Klaus Spremann
title_full_unstemmed	Portfoliomanagement von Klaus Spremann
title_short	Portfoliomanagement
title_sort	portfoliomanagement
topic	Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd
topic_facet	Portfoliomanagement Portfolio Selection Lehrbuch
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