CAT-Bonds in der Asset-Allocation – Eine empirische Analyse der Portfolio-Effekte mithilfe des Black-Litterman-Verfahrens und eines asymmetrischen Lower-Partial-Moments-Algorithmus
# Source
https://research.owlit.de/document/05818204-74a0-3b67-8a33-05fcd1ca2d4e
# Abstract
This article examines the possible diversification and resulting portfolio effects, when catastrophe bonds are added in a multi asset portfolio. The use of the Markowitz approach as an optimization method leads in this context to various problems. To address these issues, the more appropriate approaches of Black/Litterman and Nawrocki are applied.