Navigation ▼

Show simple item record

dc.contributor.advisor Korn, Olaf Prof. Dr.
dc.contributor.author Kuntz, Laura-Chloé
dc.date.accessioned 2018-07-19T08:38:13Z
dc.date.available 2018-07-19T08:38:13Z
dc.date.issued 2018-07-19
dc.identifier.uri http://hdl.handle.net/11858/00-1735-0000-002E-E455-3
dc.language.iso eng de
dc.relation.uri http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject.ddc 330 de
dc.title Portfolio Strategies with Classical and Alternative Benchmarks de
dc.type doctoralThesis de
dc.contributor.referee Korn, Olaf Prof. Dr.
dc.date.examination 2018-07-09
dc.description.abstracteng This dissertation addresses different key elements in portfolio management. It intends to improve and analyze influences on portfolio strategies and their performance. Likewise, it aims at the systematization and extension of benchmark specifications as well as their effect on portfolio strategies. Each chapter focuses on a different aspect of developing and implementing portfolio strategies. The dissertation seeks to contribute to the advancement of portfolio strategies by making the performance generating process and influences on it more comprehensible and transparent. In doing so, it attempts to strengthen the awareness of the impact of the exact design of portfolio strategies and benchmarks on the resulting portfolio and its performance. The key findings of this dissertation can be summarized as follows: The benchmark specification, especially in terms of the investible universe and the inherent risk conception, has substantial influence on the explicit design and performance of portfolio strategies. In general, the specification of the benchmark and design of portfolio strategies should be carefully considered and the implementation should be well thought out. Alternative risk conceptions, such as regret risk, can be applied to portfolio selection and lead to clearly different portfolio compositions. Moreover, timing strategies can be improved by choosing a careful investment approach on the basis of distributional regressions. All empirical work 3 of this thesis has in common that it pursues different ideas to set up portfolio strategies while explicitly addressing the benchmark specification used for the implementation and evaluation of said strategies. de
dc.contributor.coReferee Hitz, Jörg-Markus Prof. Dr.
dc.contributor.thirdReferee Bizer, Kilian Prof. Dr.
dc.subject.eng Portfolio Strategies de
dc.subject.eng Benchmarks de
dc.subject.eng Risk Concept de
dc.subject.eng Smart Beta de
dc.subject.eng Timing Strategies de
dc.subject.eng Low-Beta Anomalie de
dc.subject.eng Regret Aversion de
dc.subject.eng Beta Dispersion de
dc.identifier.urn urn:nbn:de:gbv:7-11858/00-1735-0000-002E-E455-3-4
dc.affiliation.institute Wirtschaftswissenschaftliche Fakultät de
dc.subject.gokfull Wirtschaftswissenschaften (PPN621567140) de
dc.identifier.ppn 1027326633

Files in this item

This item appears in the following Collection(s)

Show simple item record