Portefeuille-Planung bei zustandsabhängigen Verteilungen



    This research investigates some implications of empirically observed stochastic properties of stock returns for asset allocation problems. For that purpose, decisions of representative investors for different utility functions are compared. Actual returns are assumed to have time-dependent first and second order moments. The effects of this time-dependence are investigated by way of simulation experiments.
    simulation, time series analysis
    Tatsächlicher Beginn/ -es Ende1/01/9231/03/99

    Österreichische Systematik der Wissenschaftszweige (ÖFOS)

    • 101015 Operations Research
    • 101026 Zeitreihenanalyse
    • 502