search query: @indexterm RISK MEASUREMENT / total: 141
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| Author: | Nietert, B. |
| Title: | Dynamische Portfolio-Selektion unter Berücksichtigung von Kurssprüngen |
| Journal: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1999 : VOL. 51:9, p. 832-866 |
| Index terms: | SHARE PRICES FINANCIAL THEORY RISK MEASUREMENT |
| Language: | ger |
| Abstract: | To be economically reasonable, jump models have to be distinguished between firm-, cluster-specific, and market jumps (scope of the jump) as well as crashes and explosions (direction of the jump). In addition, jump amplitudes have to be bounded from both below and above. Jumps call for a completely new portfolio theory: we have to integrate jump risks explicitly into portfolio planning via correction terms. Therefore, the classical Tobin seperation is no longer valid, but an extended Tobin separation holds. We need 2 n + 1 funds in lieu to span the risk characteristics of n shares. |
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