Marktrisiken: Portfoliotheorie und Risikomaße
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | German |
| Published: |
Berlin
Springer
[2018]
Springer Gabler [2018] |
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | X, 173 Seiten Diagramme 24 cm x 16.8 cm |
| ISBN: | 9783662560181 3662560186 |
Staff View
MARC
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| 653 | |a Portfoliotheorie | ||
| 653 | |a Risikomaße | ||
| 653 | |a Value at Risk | ||
| 653 | |a Expected Shortfall | ||
| 653 | |a Finanzmathematik Aufgaben | ||
| 653 | |a Finanzmathematik Lösungen | ||
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Record in the Search Index
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| adam_text |
INHALTSVERZEICHNIS
1 PORTFOLIOTHEORIE
.
1
1.1 EIN-PERIODEN-MODELLE UND P
ORTFOLIOS. 1
1.2 RENDITE UND R I S I K O
.
8
1.3 RENDITE UND ERWARTETE RENDITE EINES P O RTFO LIO S
.
12
1.4 VARIANZ UND STANDARDABWEICHUNG DER
PORTFOLIORENDITE. 14
1.5 KOVARIANZ UND KORRELATION .
.
.
17
1.6
DIVERSIFIKATION.
21
1.7 ALLGEMEINE
PORTFOLIOS.
25
1.8 DIE KLASSISCHE DARSTELLUNG DES CAPM
. 32
1.9 SYSTEMATISCHES UND SPEZIFISCHES R
ISIKO. 38
1.10 NUMERISCHE B
ERECHNUNGEN.
44
1.11 A U FG A B EN
.
44
2 ARBITRAGEFREIE EIN-PERIODEN-MODELLE UND DAS CAPM
.
49
2.1 DIE BEWERTUNG VON AUSZAHLUNGSPROFILEN
.
49
2.2 DIE W AHRSCHEINLICHKEITSDICHTE
.
58
2.3 CAPM UND
VARIANZMINIMIERUNG.
64
2.4 A U FG A B E N
.
84
3 VALUE AT R IS K
.
87
3.1 WAHRSCHEINLICHKEITSRAEUME UND ZUFALLS VA RIA B LE
.
87
3.2 VERTEILUNGSFUNKTIONEN
.
89
3.3 Q U AN
TILE.
97
3.4 DER VALUE AT R I S K
.
98
3.5 DIE
VARIANZ-KOVARIANZ-METHODE.107
3.6 DIE
DELTA-NORMAL-METHODE.108
3.7 BERECHNUNG DER MODIFIZIERTEN
SENSITIVITAETEN.109
3.8 SENSITIVITAETEN UND ZERLEGUNGEN DES VALUE AT R ISK
.115
3.9 A U FG A B E N
.
120
X INHALTSVERZEICHNIS
4 KOHAERENTE RISIKOMASSE UND DER EXPECTED S H O RTFA
LL.125
4.1 KOHAERENTE R ISIKOM
ASSE.
125
4.2 DER EXPECTED S
HORTFALL.
132
4.3 NORMALVERTEILTE UND LOGNORMALVERTEILTE ZUFALLSVARIABLEN
.
140
4.4 DAS ASYMPTOTISCHE VERHAELTNIS VON VALUE AT RISK ZU EXPECTED SHORTFALL
. 143
4.5 A U FG A B E N
.147
5 LOESUNGEN DER
UEBUNGSAUFGABEN.
149
L ITE R A TU R . 169
SACHVERZEICHNIS.171 |
| any_adam_object | 1 |
| author | Kremer, Jürgen 1959- |
| author_GND | (DE-588)101477487X |
| author_facet | Kremer, Jürgen 1959- |
| author_role | aut |
| author_sort | Kremer, Jürgen 1959- |
| author_variant | j k jk |
| building | Verbundindex |
| bvnumber | BV044764633 |
| classification_rvk | QK 800 QK 810 |
| ctrlnum | (OCoLC)1017990474 (DE-599)DNB1149386908 |
| dewey-full | 650 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 650 - Management and auxiliary services |
| dewey-raw | 650 |
| dewey-search | 650 |
| dewey-sort | 3650 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| genre_facet | Lehrbuch |
| id | DE-604.BV044764633 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-09T13:02:58Z |
| institution | BVB |
| institution_GND | (DE-588)1065168780 |
| isbn | 9783662560181 3662560186 |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030159967 |
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| owner_facet | DE-739 DE-1050 DE-355 DE-BY-UBR |
| physical | X, 173 Seiten Diagramme 24 cm x 16.8 cm |
| publishDate | 2018 |
| publishDateSearch | 2018 |
| publishDateSort | 2018 |
| publisher | Springer Springer Gabler |
| record_format | marc |
| spelling | Kremer, Jürgen 1959- Verfasser (DE-588)101477487X aut Marktrisiken Portfoliotheorie und Risikomaße Jürgen Kremer Berlin Springer [2018] Springer Gabler [2018] © 2018 X, 173 Seiten Diagramme 24 cm x 16.8 cm txt rdacontent n rdamedia nc rdacarrier Risikomaß (DE-588)4716345-8 gnd rswk-swf Marktrisiko (DE-588)4506224-9 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf KJM KF Portfoliotheorie Risikomaße Value at Risk Expected Shortfall Finanzmathematik Aufgaben Finanzmathematik Lösungen Marktrisiko (DE-588)4123623-3 Lehrbuch gnd-content Portfolio Selection (DE-588)4046834-3 s Risikomaß (DE-588)4716345-8 s Value at Risk (DE-588)4519495-6 s Marktrisiko (DE-588)4506224-9 s DE-604 Springer-Verlag GmbH (DE-588)1065168780 pbl Erscheint auch als Online-Ausgabe (eBook) 978-3-662-56019-8 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=e8ae1478e89b482289ea26dca01abbb1&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030159967&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kremer, Jürgen 1959- Marktrisiken Portfoliotheorie und Risikomaße Risikomaß (DE-588)4716345-8 gnd Marktrisiko (DE-588)4506224-9 gnd Portfolio Selection (DE-588)4046834-3 gnd Value at Risk (DE-588)4519495-6 gnd |
| subject_GND | (DE-588)4716345-8 (DE-588)4506224-9 (DE-588)4046834-3 (DE-588)4519495-6 (DE-588)4123623-3 |
| title | Marktrisiken Portfoliotheorie und Risikomaße |
| title_auth | Marktrisiken Portfoliotheorie und Risikomaße |
| title_exact_search | Marktrisiken Portfoliotheorie und Risikomaße |
| title_full | Marktrisiken Portfoliotheorie und Risikomaße Jürgen Kremer |
| title_fullStr | Marktrisiken Portfoliotheorie und Risikomaße Jürgen Kremer |
| title_full_unstemmed | Marktrisiken Portfoliotheorie und Risikomaße Jürgen Kremer |
| title_short | Marktrisiken |
| title_sort | marktrisiken portfoliotheorie und risikomaße |
| title_sub | Portfoliotheorie und Risikomaße |
| topic | Risikomaß (DE-588)4716345-8 gnd Marktrisiko (DE-588)4506224-9 gnd Portfolio Selection (DE-588)4046834-3 gnd Value at Risk (DE-588)4519495-6 gnd |
| topic_facet | Risikomaß Marktrisiko Portfolio Selection Value at Risk Lehrbuch |
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