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Prerequisite of the standard norm distribution of Markowitz at hedge fund not realistic

Prerequisite of the standard norm distribution of Markowitz at hedge fund not realistic. Volker GRONAU. CPPI - Investment. MACD - Investment. Value - Investment. Growth - Investment. Markowitz Maximum Sharpe Ratio. Markowitz Minimum Varianz. DAX. DAX. Real Estate Investment.

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Prerequisite of the standard norm distribution of Markowitz at hedge fund not realistic

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  1. Prerequisite of thestandard norm distribution of Markowitz athedge fund not realistic Volker GRONAU Educational Centre of TU in Herľany,Slovak Republic

  2. Educational Centre of TU in Herľany,Slovak Republic

  3. Educational Centre of TU in Herľany,Slovak Republic

  4. Educational Centre of TU in Herľany,Slovak Republic

  5. CPPI - Investment Educational Centre of TU in Herľany,Slovak Republic

  6. MACD - Investment Educational Centre of TU in Herľany,Slovak Republic

  7. Value - Investment Educational Centre of TU in Herľany,Slovak Republic

  8. Growth - Investment Educational Centre of TU in Herľany,Slovak Republic

  9. Markowitz Maximum Sharpe Ratio Educational Centre of TU in Herľany,Slovak Republic

  10. Markowitz Minimum Varianz DAX Educational Centre of TU in Herľany,Slovak Republic

  11. DAX Real Estate Investment REX = loan investment Educational Centre of TU in Herľany,Slovak Republic

  12. YIELD - Structure Educational Centre of TU in Herľany,Slovak Republic

  13. Alternative Investments • Relative Value • Directional Strategies

  14. Hedge Funds Managed Futures as well as Private Equity and Venture Capital Educational Centre of TU in Herľany,Slovak Republic

  15. Harry Max MARKOWITZ Merton Miller Exkurs Nobelpreis 1990 Educational Centre of TU in Herľany,Slovak Republic

  16. Definition and features of hedge funds There is not a uniform definition for the concept "hedge funds"

  17. Definition and features of hedge funds Hedge funds represent a very heterogeneous investment group in the financial economy There is not a uniform definition for the concept "hedge funds"

  18. The expression "hedge" usually describes the protection against a financial asset against change of price risks, like share price, interest or exchange rate fluctuations, at the capital markets.

  19. "Hedge funds" have established himself as generally recognized and primary conceptuality, however, worldwide.

  20. Literature definition • low liquidity • more complexly • short sellings • investments into derivatives • to obtain an essential leverage • furthermore • Hedge Fund investments are not accessible for all investors

  21. The unusual feature of alternative investments arises from the view that capital markets assets frequently inefficiently and therefore are not able correctly to judge

  22. Overview of the management strategies

  23. Definition of the risk concept a deviation by the concept risk of expected or planned returns in the investment area

  24. ALPHA – higher Performance expectation DAX DIV-DAX

  25. Problem definition at the risk-/ performance measuring The judgement of hedge fund strategies is carried out with certain return and risk key financial data

  26. Bayer correlates with 0.13% with the DAX

  27. A diversification effect adapts provided that the investment alternatives not perfect and with that the portfolio risk correlates at same return expectation is lowered

  28. Log – norm distribution If one analyses hedge fund strategies a little more exactly, then the acceptance of the normal distribution must be rejected in most cases

  29. Log – Norm - Distribution Fat - Tail Fat - Tail

  30. Sharpe-Ratio William F. Sharpe red = Sharpe investment Div-DAX DAX

  31. "The use leads the Sharpe reason to extraordinary results, however, which is owed to only the fact in truth that in connection with hedge funds all risks are not included with the volatility. Said differently the overall risk is underestimated and the return risk relationship consequently overestimated."

  32. Sortino ratio the surplus return, at which only the negative performance changes (Downside deviation) are divided by

  33. On the right steepness On the left crookedness

  34. Discount - Certification

  35. Carl Friedrich GAUSS

  36. "Pre investment analysis always should of one and a hedge fund investment of a post investment risk management is accompanied”

  37. I thank you for your attention very much

  38. Nobelpreisträger 1990 Harry M. Markowitz (* 24.8.1927 in Chicago, Illinois) US-amerikanischer ÖkonomMerton Miller (* 16.5.1923 in Boston, Massachusetts; † 3. 6.2000 in Chicago) US-amerikanischer ÖkonomWilliam F. Sharpe (* 16.6.1934 in Cambridge, Massachusetts, USA) US-amerikanischer Wirtschaftswissenschaftler back

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