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Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen

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  • Weber, Andreas
  • Wystup, Uwe

Abstract

Bei der Altersvorsorge von Privatanlegern boomt in der derzeitigen Marktsituation die Vermarktung von Riesterverträgen. Verschiedene Anbieter versuchen, sich diesen Markt zu erschließen. Neben den Versicherungen haben auch Banken und Investmentgesellschaften Angebote auf den Markt gebracht. In der vorliegenden Arbeit untersuchen wir vier repräsentative Anlagekonzepte bei Riester- Rentenverträgen unter Auslassung der Gebührenstrukturen: DWS Riesterrente Premium, AXA Twin- Star Rente Invest, Nürnberger Fondsgebundene Zulagen-Rente Doppel-Invest und Allianz Riesterrente mit Fonds und Garantie. Wir simulieren über einen Anlagehorizont von 35 Jahren die Verteilungen des bei Renteneintritt zur Verfügung stehenden Kapitals. Den Verlauf eines internationalen Aktienportfolios simulieren wir mit einer Displaced-Double-Exponential Sprungdiffusion. Dabei werden optimistische, pessimistische und gemischte Szenarien betrachtet. Im Ergebnis zeigt sich, dass der CPPI-Ansatz der DWS in nahezu allen Fällen anderen Strategien überlegen ist.

Suggested Citation

  • Weber, Andreas & Wystup, Uwe, 2008. "Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen," CPQF Working Paper Series 13, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    • Handle: RePEc:zbw:cpqfwp:13
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    Cited by:

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    2. Böing, Philipp & Müller, Elisabeth, 2012. "Technological Capabilities of Chinese Enterprises: Who is Going to Compete Abroad?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62081, Verein für Socialpolitik / German Economic Association.
    3. Inklaar, Robert & Koetter, Michael & Noth, Felix, 2012. "Who's afraid of big bad banks? Bank competition, SME, and industry growth," Frankfurt School - Working Paper Series 197, Frankfurt School of Finance and Management.
    4. Alexander Libman & Vladimir Kozlov & André Schultz, 2012. "Roving Bandits in Action: Outside Option and Governmental Predation in Autocracies," Kyklos, Wiley Blackwell, vol. 65(4), pages 526-562, November.
    5. Boeing, Philipp & Mueller, Elisabeth & Sandner, Philipp, 2012. "What makes Chinese firms productive? Learning from indigenous and foreign sources of knowledge," Frankfurt School - Working Paper Series 196, Frankfurt School of Finance and Management.
    6. Kostka, Genia & Moslener, Ulf & Andreas, Jan G., 2011. "Barriers to energy efficiency improvement: Empirical evidence from small-and-medium sized enterprises in China," Frankfurt School - Working Paper Series 178, Frankfurt School of Finance and Management.
    7. Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series 171, Frankfurt School of Finance and Management.
    8. Tiffe, Achim & Feigl, Michael & Fritze, Jürgen & Götz, Veruschka & Grunert, Claudia & Jaroszek, Lena & Rohn, Ilonka, 2012. "Ausgestaltung eines Produktinformationsblatts für zertifizierte Altersvorsorge- und Basisrentenverträge," EconStor Research Reports 57575, ZBW - Leibniz Information Centre for Economics.

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    More about this item

    Keywords

    Altersvorsorge; Garantiefonds; Asset-Melt-down; Sparpläne; CPPI; Dynamic Hedging;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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