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The Portfoliotheorie is a subsection of the financing and examines the investment behavior at capital markets (e.g. Stock market). The Portfoliotheorie is a formal theory, which obtains certain acceptance to the behavior subordinated statements about the investment behavior, so certain by investors and. Both the acceptance and the statements are evaluated quite critically by the economic science, yet the Portfoliotheorie applies as secured.

Acceptance

The Portfoliotheorie subordinates several investors, who want to orient themselves in their behavior exclusively at payment sizes (cash flow) and mehren their fortune. These investors act rationally: that means, they inform about the conditions of the capital market and decide, by weighing chances and risks against each other. They shrink from the risk (one speaks also of risk aversion). The Portfoliotheorie continues to subordinate that all investors have the same information (one speaks of homogeneous information). Over the question, which information from the observable data of the market can be won, it gave an intensive debate in the financing (decreasing/going back on the innovative work of Eugene Fama).

In order to simplify the analysis, one continues to assume that securities without transaction costs can be acquired and that no taxes to exist.

Results

The most important result of the Portfoliotheorie is the risk diversification: it exists for each investor an optimal Portfolio in such a way specified from all investments, which illustrates its risk chance profile in the best possible way. This optimal Portfolio depends thereby neither on the original fortune of the investor still its direct risk attitude. Rather only the risk net yield combinations of the acted titles play a role. The proof of the statement decreases/goes back on James Tobin, after it this theorem also raving in theorem is called.

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Literature

  • Stephen A. Ross, Randolph W. Westerfield, Jeffrey Jaffe: Corporate Finance. 7. OD., McGraw Hill Irwin, Boston 2005, ISBN 0-07-282920-6
  • Harry M. Markowitz: Portfolio Selection, journal OF Finance 7 (1952), P. 77-91.
  • Detlef Mertens: Portfolio optimization after Markowitz; ISBN 3937519092
  • Kurt M. Maier: Risk management in the real estate and financing; ISBN 3831407568

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