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Nichtparametrische Prädiktorselektion im Asset Management

In: Operations Research Proceedings 2007

Author

Listed:
  • Johannes Hildebrandt

    (Universität Bremen)

  • Thorsten Poddig

    (Universität Bremen)

Abstract

Auszug Im Asset Management stellt sich dem Investor die zentrale Aufgabe der systematischen Verteilung des Anlagekapitals auf die verschiedenen Investitionsalternativen. Das moderne Asset Management basiert auf der Portfolio Selection nach Markowitz und damit auf der Annahme gegebener zukünftiger Rendite- und Risikoerwartungen bzgl. der Anlagealternativen. Diese Annahme impliziert ein theoretisch wie praktisch bedeutsames Prognose- bzw. Schätzproblem.

Suggested Citation

  • Johannes Hildebrandt & Thorsten Poddig, 2008. "Nichtparametrische Prädiktorselektion im Asset Management," Operations Research Proceedings, in: Jörg Kalcsics & Stefan Nickel (ed.), Operations Research Proceedings 2007, pages 269-274, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-77903-2_42
    DOI: 10.1007/978-3-540-77903-2_42
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