Portfoliooptimierung privater Investoren unter Informationskosten (English shop)

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This study addresses the resolution of decisions within the framework of portfolio optimization with regard to the acquisition and processing of information and the composition of portfolios in the presence of information costs.

Normative Modern Portfolio Theory is accorded great importance in the literature. Its practical implementation, however, proves very difficult for several reasons. For instance, it may be objected to normative Modern Portfolio Theory that, in reality and in contrast to the models of normative Modern Portfolio Theory, investors require time, cognitive abilities, expert knowledge, technical support, etc. for portfolio optimization, and that the acquisition of information induces costs.

As shown in the statement of the problem in this study, private investors in reality frequently acquire portfolios that are not efficient in the sense of normative Modern Portfolio Theory, and employ naive strategies for portfolio formation. Compared with institutional investors, private investors in reality generally acquire and process less information for portfolio optimization. Information costs can explain the behaviour of private investors in reality, whereby two fundamental perspectives are adopted in this study for analysing the efficiency and optimality of portfolios while taking information costs into account:
1) Modelling the portfolio decision from a practical perspective
2) Modelling the information and portfolio decision from a portfolio-theoretical perspective