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| Author: | Wolter, H-J. |
| Title: | Timing, Risiko und Rendite |
| Journal: | Zeitschrift für Betriebswirtschaft
1999 : ERGÄNZUNGSHEFT 3, p. 41-59 |
| Index terms: | INVESTMENT STRATEGY CAPITAL MARKETS |
| Language: | ger |
| Abstract: | It is shown that the efficient frontier of an active invest- ment strategy defined over an asset with only two possible states and a riskless asset is left turning. The intuition that an active investment strategy is superior to a passive strategy whenever the timing ability of the portfolio mana- ger is greater than 50 percent is refuted. Due to the left turning of the efficient frontier, the situ- ation might occur where, under a low risk of tolerance, a portfolio manager would have to decide against his/her timing-ability. This statement is untrue, if a part of the investment is allowed to be invested permanently in a riskless asset. |
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