| Author: | Spremann, K. |
| Title: | Diversifikation im Normalfall und im Stressfall |
| Journal: | Zeitschrift für Betriebswirtschaft
1997 : VOL. 67:8, p. 865-886 |
| Index terms: | DECISION THEORY PORTFOLIO SELECTION |
| Language: | ger |
| Abstract: | Most publications on portfolio selection , which focus on the shortfall-probability as an alternative measure of risk, are based on the implicit assumption of normally distributed returns. This assumption is crucial since there are several uncommon effects in the case it is not fulfilled. So it may be the case that the coefficients of correlation do not describe the extent, to which shortfall risk may be diversified. In addition, Tobin's universal separation is no longer valid. So, when investors choose alternative measures of risk they can no longer expect to find best portfolios by determining, in a first step, one "market" portfolio and to combine it with a riskfree investment instrument in a second step. |
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