Strategy optimization for alternative investments:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Dresden
2008
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VI, 197 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | IMAGE 1
4 4AHR IFF3
STRATEGY OPTIMIZATION FOR ALTERNATIVE INVESTMENTS
INAUGURAL-DISSERTATION SUBMITTED TO THE EUROPEAN BUSINESS SCHOOL,
OESTRICH-WINKEL
EUROPEAN SE BUSINESS SCHOOL INTERNATIONAL UNIVERSITY * &HLOSS
REKHAMHAUSEN IN PARTIAL FULFILMENT OF THE REQUIREMENTS
FOR OBTAINING THE ACADEMIC DEGREE OF DOCTOR RERUM POLITICARUM (DR. RER.
POL.)
PRESENTED BY
DIPL. KAUFFRAU JULIANE PROELSS, CAIA, CFP, CFEP BORN IN DRESDEN
(SAXONY), GERMANY
SUBMISSION DATE: MARCH 26 TH , 2008 EXAMINATION DATE: JUNE 9 TH , 2008
REFEREES:
ADVISOR: PROF. DR. LUTZ JOHANNING SECOND ADVISOR: PROF. DR. ROLF TILMES,
CFP, HONCFEP
A 259090
IMAGE 2
TABLE OF CONTENT
O V E R V I EW **** *****
**..******...******.**»**************************»»*********.****.**************************** **** ***
I TABLE OF CONTENT II
LIST OF FIGURES VI
I N T R O D U C T I ON * * * . . . . . . . . . . * * * * * . . . * * * *
* * * * * . * * * * * * * * . * * * . * * * . * * * * * * **
*************************** ********************************** 1
1.1 ESSAY 1: RESEARCH MOTIVATION AND MAIN FINDINGS 7
1.2 ESSAY 2: RESEARCH MOTIVATION AND MAIN FINDINGS 9
1.3 ESSAY 3: RESEARCH MOTIVATION AND MAIN FINDINGS 10
REFERENCES 14
CAN THE LOW PORTFOLIO ALLOCATIONS TO ALTERNATIVE INVESTMENTS BE
EXPLAINED BY AN AMBIGUITY AVERSION OF INSTITUTIONAL INVESTORS? 17
1.4 INTRODUCTION 18
1.5 LITERATURE REVIEW 23
1.6 METHODOLOGY 30
1.7 MODEL CALIBRATION 43
1.7.1 ASSET ALLOCATION OF GERMAN AND INTERNATIONAL INVESTORS 43
1.7.2 DATA SET AND MODEL CALIBRATION 48
1.8 AMBIGUITY AVERSION 56
1.9 CONCLUSION 66
REFERENCES 69
APPENDIX A . . 77
POLYNOMIAL GOAL PROGRAMMING AND THE IMPLICIT HIGHER MOMENT PREFERENCES
OF U.S. INSTITUTIONAL INVESTORS IN HEDGE FUNDS 83
1.10 INTRODUCTION 84
1.11 HEDGE FUND RETURN CHARACTERISTICS AND ASSET ALLOCATION 87
1.11.1 HEDGE FUND RETURN CHARACTERISTICS AND INVESTOR IMPLICATIONS 87
1.11.2 HEDGE FUND ASSET ALLOCATION MODELS 89
1.12 IMPLICIT INVESTOR PREFERENCES AND EFFECTIVE PORTFOLIOS 93
1.12.1 IMPLICIT PREFERENCES FOR HIGHER MOMENTS AND THE ESTIMATION OF
AN EFFECTIVE HEDGE FUND PORTFOLIO 93
1.12.2 DATA SET 95
1.12.3 EMPIRICAL ESTIMATION OF EFFECTIVE HEDGE FUND PORTFOLIOS 98
1.13 THE FOUR-MOMENT PGP FRAMEWORK 108
II
IMAGE 3
1.13.1 CLASSIC PGP FRAMEWORK 109
1.13.2 INTERPRETATION AND ESTIMATION OF IMPLIED PREFERENCE PARAMETERS
112
1.14 IMPLICIT PREFERENCES FOR HIGHER MOMENTS - EMPIRICAL RESULTS 115
1.15 CONCLUSION 119
REFERENCES 122
APPENDIX B 129
THE ROLE OF CONSUMPTION AND LISTED ALTERNATIVE INVESTMENTS FOR THE
LIFE-TIME RUIN PROBABILITY OF U.S. HOUSEHOLDS 131
1.16 INTRODUCTION 132
1.17 LITERATURE 135
1.18 THE MODEL 141
1.18.1 WEALTH ACCUMULATION 143
1.18.2 DYNAMICS 145
1.19 MODEL CALIBRATION 153
1.19.1 WEALTH DISTRIBUTION OF REPRESENTATIVE U. S. INCOME QUINTILES 153
1.19.2 ECONOMIC DATA 159
1.19.3 MARKET DEVELOPMENT 162
1.20 SIMULATION RESULTS 169
1.21 SUMMARY AND OUTLOOK 177
REFERENCES 180
APPENDIX C 187
5 CONCLUSION ;. 191
ADDENDIX 195
ILL
|
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| spelling | Proelss, Juliane Verfasser (DE-588)140052674 aut Strategy optimization for alternative investments presented by Juliane Proelss Dresden 2008 VI, 197 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Oestrich-Winkel, Europ. Business School, Diss., 2008 Anlagepolitik (DE-588)4206018-7 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Anlagepolitik (DE-588)4206018-7 s DE-188 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022286957&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Proelss, Juliane Strategy optimization for alternative investments Anlagepolitik (DE-588)4206018-7 gnd |
| subject_GND | (DE-588)4206018-7 (DE-588)4143413-4 (DE-588)4113937-9 |
| title | Strategy optimization for alternative investments |
| title_auth | Strategy optimization for alternative investments |
| title_exact_search | Strategy optimization for alternative investments |
| title_full | Strategy optimization for alternative investments presented by Juliane Proelss |
| title_fullStr | Strategy optimization for alternative investments presented by Juliane Proelss |
| title_full_unstemmed | Strategy optimization for alternative investments presented by Juliane Proelss |
| title_short | Strategy optimization for alternative investments |
| title_sort | strategy optimization for alternative investments |
| topic | Anlagepolitik (DE-588)4206018-7 gnd |
| topic_facet | Anlagepolitik Aufsatzsammlung Hochschulschrift |
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