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Marktrisiken: Portfoliotheorie Und Risikomaße
Paperback
Business GeneralInvesting & FinanceGeneral Mathematics
ISBN13: 9783662671450
Publisher: Springer Gabler
Published: Jun 29 2023
Pages: 203
Weight: 0.77
Height: 0.46 Width: 6.69 Depth: 9.61
Language: German
In diesem Buch werden Konzepte zur Quantifizierung von Marktrisiken dargestellt. Im Rahmen der im ersten Kapitel vorgestellten Portfoliotheorie werden Kapitalanlagen charakterisiert, die nach Vorgabe eines Risikos eine möglichst hohe erwartete Rendite versprechen. Risiko wird hier definiert als die Standardabweichung der Portfoliorendite. Für arbitragefreie Ein-Perioden-Modelle lassen sich optimale Kapitalanlagen alternativ auch mithilfe von Wahrscheinlichkeitsdichten formulieren, was im zweiten Kapitel ausgeführt wird. Im dritten Kapitel wird das Risikoma Value at Risk vorgestellt, das denjenigen Verlust eines Portfolios quantifiziert, der mit einer vorgegebenen Wahrscheinlichkeit übertroffen wird. Der Value at Risk ist unempfindlich gegenüber der Verteilung der hohen Verluste und er ist nicht subadditiv. Die Formulierung von Eigenschaften, die ein gutes Risikoma haben sollte, führt zum Konzept der kohärenten Risikoma e, die im vierten Kapitel zusammen mit ihrem wichtigsten Vertreter, dem Expected Shortfall, vorgestellt werden.
Am Ende jedes Kapitels finden Sie - neben passenden Übungsaufgaben - einen Abschnitt Das Wichtigste im Überblick, in dem die wesentlichen Begriffsbildungen, Konzepte und Resultate des jeweiligen Kapitels in knapper Form zusammengestellt wurden. Zu allen Übungsaufgaben werden vollständige Musterlösungen angeboten. Darüber hinaus steht Ihnen auf YouTube eine Playlist mit Lehrvideos zur Verfügung.
Für die zweite Auflage wurde der Text an zahlreichen Stellen im Detail verbessert und es wurden neue Übungsaufgaben aufgenommen. Darüber hinaus wurde der Text um einen Abschnitt zu univariat und multivariat normalverteilten Zufallsvariablen ergänzt.Also in
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