Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25490 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
CFS Working Paper No. 2006/24
Verlag: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Zusammenfassung: 
Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant variance continues to be the standard framework in portfolio management. Here we propose a practical approach to portfolio selection. It takes both the conditionally varying volatility and the fat-tailedness of risk factors explicitly into account, while retaining analytical tractability and ease of implementation. An application to a portfolio of nine German DAX stocks illustrates that the model is strongly favored by the data and that it is practically implementable.
Schlagwörter: 
Multivariate Stable Distribution
Index Model
Portfolio Optimization
Value-at- Risk
Model Adequacy
JEL: 
C13
C32
G11
G14
G18
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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