Details
| Original language | German |
|---|---|
| Pages (from-to) | 273-281 |
| Number of pages | 9 |
| Journal | Zeitschrift fur die gesamte Versicherungswissenschaft |
| Volume | 98 |
| Issue number | 3 |
| Early online date | 21 Apr 2009 |
| Publication status | Published - Sept 2009 |
Abstract
The over performance of hedge funds until the current financial market turbulences led to a large number of insurers increasing their hedge funds quota. In the following this asset class is examined and particularly analyzed with respect to its adequacy for an insurance company's asset allocation by focusing on the axiom of safety, as demanded by national law. The problem of survivorship-bias and the Markowitz requirements of normal-distribution and constant correlations among the asset classes and their impact on a strategic asset allocation are studied.
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Accounting
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Zeitschrift fur die gesamte Versicherungswissenschaft, Vol. 98, No. 3, 09.2009, p. 273-281.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Hedge-Fonds als Asset-Klasse
T2 - Betrachtungen aus der Perspektive der deutschen Versicherungswirtschaft
AU - Reddemann, Sebastian
AU - Basse, Tobias
AU - Friedrich, Meik
AU - Graf Von Der Schulenburg, J. M.
PY - 2009/9
Y1 - 2009/9
N2 - The over performance of hedge funds until the current financial market turbulences led to a large number of insurers increasing their hedge funds quota. In the following this asset class is examined and particularly analyzed with respect to its adequacy for an insurance company's asset allocation by focusing on the axiom of safety, as demanded by national law. The problem of survivorship-bias and the Markowitz requirements of normal-distribution and constant correlations among the asset classes and their impact on a strategic asset allocation are studied.
AB - The over performance of hedge funds until the current financial market turbulences led to a large number of insurers increasing their hedge funds quota. In the following this asset class is examined and particularly analyzed with respect to its adequacy for an insurance company's asset allocation by focusing on the axiom of safety, as demanded by national law. The problem of survivorship-bias and the Markowitz requirements of normal-distribution and constant correlations among the asset classes and their impact on a strategic asset allocation are studied.
UR - http://www.scopus.com/inward/record.url?scp=84871431423&partnerID=8YFLogxK
U2 - 10.1007/s12297-009-0055-9
DO - 10.1007/s12297-009-0055-9
M3 - Artikel
AN - SCOPUS:84871431423
VL - 98
SP - 273
EP - 281
JO - Zeitschrift fur die gesamte Versicherungswissenschaft
JF - Zeitschrift fur die gesamte Versicherungswissenschaft
SN - 0044-2585
IS - 3
ER -