haku: @indexterm PORTFOLIO SELECTION / yhteensä: 92
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| Tekijä: | Reichling, P. |
| Otsikko: | Safety First-Ansätze in der Portfolio-Selektion |
| Lehti: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1996 : VOL. 48:1, p. 31-55 |
| Asiasana: | PORTFOLIO SELECTION |
| Kieli: | ger |
| Tiivistelmä: | The safety first rule determines the portfolio with the lowest shortfall probability with respect to a given thres- hold return, where shortfall probability is regarded as a measure of downside risk. This is consistent with expected utility theory, if returns are normally distributed and the investor's utility function values above target returns uni- formly positive and considers below target returns of no use at all. Maximizing unexpected utility is then equivalent to the maximization of the risk premium, that relates expected excess returns to portfolio volatility. This ratio can be divided into the premium of the minimum variance portfolio and the premium given by the marginal risk return trade-off of the efficient frontier. This yields a relation between threshold returns and minimum downside risk. |
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