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Ertrag und Shortfall Risiko von Wertsicherungsstrategien mit Optionen unter alternativen Zielrenditen: Empirische Evidenzen für den deutschen Aktienmarkt

Author

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  • Maurer, Raimond

    (Lehrstuhl fuer Investment, Portfolio Management und Alterssicherung)

Abstract

In der vorliegenden Studie wird im Kontext einer historischen Simulation Rendite und Risiko kombinierter Aktien- und Optionsstrategien untersucht. Neben den traditionellen Risikomaßen der Portofoliotheorie, Varianz bzw. Standardabweichung, wird die sehr flexible Klasse von Shortfall-Risikomaßen betrachtet, die dem asymmetrischen Ertrags-Risiko-Profil von kombinierten Aktien-Optionsstrategien besser Rechnung trägt. Die betrachteten Strategien sind der Put-Hedge, der Covered-Short-Call sowie der Collar. Die Shortfall-Risikomaße werden sowohl relativ zu einer deterministischen als auch stochastischen Referenzgröße ausgewertet.

Suggested Citation

  • Maurer, Raimond, 1997. "Ertrag und Shortfall Risiko von Wertsicherungsstrategien mit Optionen unter alternativen Zielrenditen: Empirische Evidenzen für den deutschen Aktienmarkt," Sonderforschungsbereich 504 Publications 97-19, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Handle: RePEc:xrs:sfbmaa:97-19
    Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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