Author: | Kaduff, J. V. Spremann, K. |
Title: | Sicherheit und Diversifikation bei Shorfall-Risk |
Journal: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1996 : VOL. 48:9, p. 779-802 |
Index terms: | RETURN ON INVESTMENT RISK MANAGEMENT PORTFOLIO SELECTION METHODOLOGY |
Language: | ger |
Abstract: | In the pst years, the understanding of risk as standard deviation or variance has been questioned frequently. Instead of these measures, the probability of failure to attain a prespecified target return has been proposed as a more intuitive measure of risk. This paper shows under which conditions the traditional Mean-Variance-approach according to Markowitz can be applied to identify Safety-First- Portfolios according to Roy. A graphically motivated methodology, called Tangent-Method, is developed to calculate the efficient frontier. According to the modified understanding of risk, a new presentation of portfolios in generalized Mean-Lower-Partial-Moment-World with varying targets is proposed. |
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