Die Verfahrensheterogenität in der Performance-Messung von Anlageportfolios

Ein Überblick über traditionelle und moderne Maße sowie aktuelle Trends
State-of-the-art-Artikel

Zusammenfassung

Die Performance-Messung ist vielfach Ausgangspunkt für die Bewertung eines Anlageportfolios. Da die traditionellen Performance-Ansätze großer Kritik ausgesetzt sind und deren Anwendung insbesondere bei schiefen Renditeverteilungen theoretischen Schwachstellen unterliegt, setzt sich sowohl in wissenschaftlichen als auch praktischen Fragestellungen zunehmend der Einsatz moderner Performance-Maße durch. Sie zeichnen sich durch die Verwendung asymmetrischer Risikomaße aus, lösen sich von einem gleichgewichtstheoretischen Grundsatz oder weichen von der Darstellung als Verhältniskennzahl ab. Darüber hinaus wird aktuell eine Synthese von Performance-Maßen und Copula-Funktionen diskutiert. Die Folge hiervon sind copula-basierte Performance-Ansätze, die ein ausfallorientiertes Risikoverständnis mit einer adäquaten Abhängigkeitsmodellierung vereinen. Die vorliegende Arbeit stellt die wesentlichen Vertreter klassischer, moderner und copula-basierter Performance-Maße vor und geht auf deren Vor- und Nachteile ebenso ein, wie auf zukünftig mögliche Forschungsgebiete.

Schlagworte

Performance-Messung Omega-Maß Copula-Funktionen 

Abstract

Performance measurement is a fundamental part of the evaluation of an asset portfolio. As traditional performance approaches are under severe criticism and their application is widely discussed especially in case of fat-tailed return distributions, modern performance-measures become widely accepted both in academic and practical use. The modern way of an adequate performance measurement is characterized by the application of asymmetric risk measures, by the release of the basic principles of an equilibrium model or by the deflection from a ratio-based construction. Moreover the current academic discussion regarding the combination of modern performance measures and the mathematical construct of copulas leads to copula-based approaches that unify a shortfall-oriented risk-conception with an adequate modelling of dependence structures between the considered portfolio elements. The present paper discusses the main representatives of traditional, modern and copula-based performance measures and shows their advantages and disadvantages as well as possible fields of research.

Keywords

Performance measurement Omega measure Copula 

JEL classification

C15 C33 G11 G24 

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Copyright information

© © Wirtschaftsuniversität Wien, Austria 2009

Authors and Affiliations

  1. 1.risklab GmbHMünchenDeutschland
  2. 2.Lehrstuhl für Finanz- und BankwirtschaftUniversität AugsburgAugsburgDeutschland

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