Investmentfonds in Kapitalanlagegesellschaften unter besonderer Betrachtung von Portfolio Optimierungsansätzen

Abstract

The importance of portfolio optimization approaches has become indispensable in today’s global financial market. This topic plays a decisive role in banks, especially in investment comoanies, on a daily basis. In 2008, many investors who had invested significantly in asset classes other than government bonds sufferd significant losses on their investments. Therefore Investors asked themselves how the value of the securities can be maintained in the long term. Historically, the solution to mitigate risk has been diversification. After the experience of the financial crisis, this concept was questioned and alternatives were sought. New trends in portfolio optimization came to the fore.3 These approaches are intended to support investors in constructing a stable and crisis-proof portfolio. An optimal combination of return and risk represents an efficient investment fund. Through the targeted use of different asset classes (stocks, bonds or derivatives), the highest possible return can be achieved at a necessary risk contribution. Due to the very dynamic and volatile market surrounding securities trading, the attention to portfolio optimization approaches is therefore justified.4 This raises the question of which portfolio optimization approaches are widely used in the literature and subsequently applied to the financial market, as well as their differences and similarities? How does portfolio construction work using risk factors and how can the results be interpreted against the selected risk indicator Value-at-Risk (VaR)? This master’s thesis answers the questions listed above and provides a circumstance of the different security categories within investment funds, the modern portfolio theory according to Harry M. Markowitz, which laid the foundation for a number of portfolio optimization approaches, as well as application of current strategies and trends for the Asset allocation depending on investors preferences. Furthermore, an empirical analysis was carried out, which provides an overview of how risk factors work in portfolio construction in practice.

Date of Award	2024
Original language	German (Austria)
Supervisor	Michael Viehs (Supervisor)