On the optimization of a CAPM-portfolio considering the possibility of safeguarding its loss

Uli Willibald Spreitzer, Allemagne

Using a portfolio which is built from bonds and assets corresponding to the CAPM we calculate the loss of this portfolio. The loss is measured by a so called lower partial moment of the rate of return of the portfolio. We show, that the loss is so low, that it is preferable to invest in assets and underwrite the loss by an insurance, which demands a premium, which is proportional to the investment. Demanding a premium, which is proportional to the loss, we show, that the portfolio should be built by investment in bonds and assets.
Date: 2 June - Time: 8:30 to 10:00 - Room: 241
Theme: 9.A. Various topics