Vollmer Markus. A Beta-return Efficient Portfolio Optimisation Following the CAPM: An Analysis of International Markets and Sectors

Springer, 2015. — 134 p. — (BestMasters). — ISBN: 9783658066338, 9783658066345Investors are trying to generate excess returns through active investment strategies. Since the outbreak of the financial crisis, investors face a situation where increased risks are accompanied by falling key interest rates. An optimal portfolio in terms of risk and return becomes a perpetual motion machine. Markus Vollmer answers the question how the seemingly impossible could still be achieved by an empirical analysis of historical data of 1’800 stocks listed at equity markets in 24 countries covering all 19 super sectors. The author offers valid and reliable findings by using the previously mentioned data proxy. He reveals purposefully the need for further research and simultaneously he derives specific and applicable guidelines for the design of investment strategies which are extremely exciting for both the institutional expert and the private investor.Literature Review
Research Methodology
Analysis & Discussion
Conclusions, Limitations & Outlook