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Hielscher, U. Asset Allocation. Credit and Capital Markets – Kredit und Kapital, 24(2), 254-270. https://doi.org/10.3790/ccm.24.2.254
Hielscher, Udo "Asset Allocation" Credit and Capital Markets – Kredit und Kapital 24.2, 1991, 254-270. https://doi.org/10.3790/ccm.24.2.254
Hielscher, Udo (1991): Asset Allocation, in: Credit and Capital Markets – Kredit und Kapital, vol. 24, iss. 2, 254-270, [online] https://doi.org/10.3790/ccm.24.2.254
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Asset Allocation

Hielscher, Udo

Credit and Capital Markets – Kredit und Kapital, Vol. 24 (1991), Iss. 2 : pp. 254–270

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.24.2.254
Language
Multiple languages
Pages
17

Author Details

Udo Hielscher, Darmstadt

References

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  26. Arnott, R. D. und Henriksson, R. (1989): A Disciplined Approach to Global Asset Allocation. In: Financial Analysts Journal, March/April 1989, S.17 – 28.  Google Scholar
  27. Black, F.: (1989): Universal Hedging. Optimizing Currency Risk and Reward in International Equity Portfolios. In: Financial Analysts Journal, July/August 1989, S. 16 – 20.  Google Scholar
  28. Celebuski, M. J., Hill, J. M. und Kilgannon, J. J. (1990): Managing Currency Exposures in International Portfolios. In: Financial Analysts Journal, January/February (1990), S.16 -23.  Google Scholar
  29. Cohn, K. J. and Pogue, J. A. (1967): An Empirical Evaluation of Alternative Portfolio-Selection Models. In: Journal of Business, Vol. 40 (1967), S.167 ff.  Google Scholar
  30. Elton, E. J. und Gruber, M. J. (1985): Modern Portfolio Theory and Investment Analysis. 2” Edition, John Wiley & Sons, New York u.a. 1985.  Google Scholar
  31. Franke, G. und Hax, H. (1990): Finanzwirtschaft des Unternehmens und Kapitalmarkt. 2. Aufl., Springer Verlag, Berlin / Heidelberg u.a. 1990.  Google Scholar
  32. Goldfarb, D. und Idnani, A. (1983): A Numerically Stable Dual Method Solving Strictly Convex Quadratic Problems. In: Mathematical Programming, Vol. 27 (1983), S.1-33.  Google Scholar
  33. Haugen, R. A. (1990): Modern Investment Theory. 2”@ Edition, Prentice Hall, Englewood Cliffs (N.J.) 1990.  Google Scholar
  34. Hielscher, U. (1969): Das optimale Aktienportefeuille 3. Auflage, Knapp Verlag, Frankfurt/M. 1969.  Google Scholar
  35. Hielscher, U. (1990): Investmentanalyse. Oldenbourg Verlag, München / Wien 1990.  Google Scholar
  36. Ibbotson, R. (1987): Investment Markets. McGraw Hill, New York 1987.  Google Scholar
  37. Lee, A. (1988): International Asset and Currency Allocation. In: Arnott, R. A. und Fabozzi, F. J. (Arsg.): Asset Allocation. Probus Publishing, Chicago 1988, S. 405 – 424.  Google Scholar
  38. Levy, H. und Lerman, Z. (1988): The Benefits of International Diversification in Bonds. In: Financial Analysts Journal, September/October 1988, S. 56 – 63.  Google Scholar
  39. Maginn, J. L. und Tuttle, D. L. (Hrsg.) (1990): Managing Investment Portfolios. A Dynamic Process. 2”4 Edition, Warren Gorham & Lamont, Boston / New York 1990.  Google Scholar
  40. Markowitz, H. M. (1959): Portfolio Selection. Efficient Diversification of Investments. John Wiley & Sons und Chapman & Hall, New York / London 1959.  Google Scholar
  41. Markowitz, H. M. (1987): Mean-Variance Analysis in Portfolio Choice and Capital Markets. Basil Blackwell, Oxford / New York 1987.  Google Scholar
  42. Rudd, A. und Clasing, H. K. (1982): Modern Portfolio Theory. Dow Jones-Irwin, Homewood (Ill.) 1982.  Google Scholar
  43. Shapiro, A. C. (1989): Multinational Financial Management. 3’ Edition, Allyn and Bacon, Boston / London u.a. 1989.  Google Scholar
  44. Sharpe, W. F. (1963): A Simplified Model for Portfolio Analysis. In: Management Science, Vol. 9 (1963), S. 277ff.  Google Scholar
  45. Sharpe, W. F. (1987): Asset Allocation Tools. 2rd Edition, The Scientific Press, Redwood City (CA.) 1987.  Google Scholar
  46. Sharpe, W. F. and Alexander, G. J. (1990): Investments. 4'® Edition, Prentice Hall, Englewood Cliffs (N.J.) 1990.  Google Scholar
  47. Stoakes, Ch. und Freeman, A. (Hrsg.) (1989): Managing Global Portfolios. Euromoney Publications, London 1989.  Google Scholar
  48. Uhlir, H. und Steiner, P. (1986): Wertpapieranalyse. Physika Verlag, Heidelberg / Wien 1986.  Google Scholar

Abstract

Asset Allocation

Besides the original Markowitz model, derived index-based concepts, different in complexity (Part II), may be employed in the interest of (optimal) asset allocation. Comprehensive problem solutions, especially international and/or global asset allocation, are still requiring a step-by-step approach and/or the formation of asset classes (Part II). Since it is possible to derive from indices as representative indicators of market trends (benchmarks) perceptions that are especially illustrative of the risk and performance potentials involved in asset allocation, (relative) optimization in respect of benchmarks as well as index-based portfolios are increasing in importance in modern portfolio management (Part IV).

Table of Contents

Section Title Page Action Price
Udo Hielscher: Asset Allocation 254
I. Einleitung 254
II. Modellkonzepte 255
III. Assetklassen 260
IV. Relative Optimierung und Indexportefeuilles 264
Literatur 269
Zusammenfassung: Asset Allocation 270
Summary: Asset Allocation 270
Résumé: Allocation d'actifs (Asset allocation) 270

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