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Portfolio Strategies with Classical and Alternative Benchmarks

dc.contributor.advisorKorn, Olaf Prof. Dr.
dc.contributor.authorKuntz, Laura-Chloé
dc.date.accessioned2018-07-19T08:38:13Z
dc.date.available2018-07-19T08:38:13Z
dc.date.issued2018-07-19
dc.identifier.urihttp://hdl.handle.net/11858/00-1735-0000-002E-E455-3
dc.identifier.urihttp://dx.doi.org/10.53846/goediss-6972
dc.language.isoengde
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject.ddc330de
dc.titlePortfolio Strategies with Classical and Alternative Benchmarksde
dc.typedoctoralThesisde
dc.contributor.refereeKorn, Olaf Prof. Dr.
dc.date.examination2018-07-09
dc.description.abstractengThis 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.coRefereeHitz, Jörg-Markus Prof. Dr.
dc.contributor.thirdRefereeBizer, Kilian Prof. Dr.
dc.subject.engPortfolio Strategiesde
dc.subject.engBenchmarksde
dc.subject.engRisk Conceptde
dc.subject.engSmart Betade
dc.subject.engTiming Strategiesde
dc.subject.engLow-Beta Anomaliede
dc.subject.engRegret Aversionde
dc.subject.engBeta Dispersionde
dc.identifier.urnurn:nbn:de:gbv:7-11858/00-1735-0000-002E-E455-3-4
dc.affiliation.instituteWirtschaftswissenschaftliche Fakultätde
dc.subject.gokfullWirtschaftswissenschaften (PPN621567140)de
dc.identifier.ppn1027326633


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