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Dynamische Portfolio-Selektion unter Berücksichtigung von Kurssprüngen

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  • Bernhard Nietert

    (Universität Passau)

Abstract

Summary To be economically reasonable, jump models have to be distinguished between firm-, cluster-specific, and market jumps (scope of the jump) as well as crashes and explosions (direction of the jump). In addition, jump amplitudes have to be bounded from both below and above. Jumps call for a completely new portfolio theory: we have to integrate jump risks explicitly into portfolio planning via correction terms. Therefore, the classical Tobin separation is no longer valid, but an extended Tobin separation holds. — We need 2 n + 1 funds in lieu to span the risk characteristics of n shares.

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  • Bernhard Nietert, 1999. "Dynamische Portfolio-Selektion unter Berücksichtigung von Kurssprüngen," Schmalenbach Journal of Business Research, Springer, vol. 51(9), pages 832-866, September.
    • Handle: RePEc:spr:sjobre:v:51:y:1999:i:9:d:10.1007_bf03371599
    DOI: 10.1007/BF03371599
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