This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by Markowitz (1952)... [Enrico De Giorgi]<p>

Es wird dargelegt, dass das im Rahmen des Asset-Liability-Managements häufiggewählte Immunisierungsverfahren des Durationsmatch unter Verwendung der traditionellen Yieldbeta-Methode nur dann sachgerecht eingesetzt werden kann, wenn das betrachtete Unternehmenkeinen sicheren realen und damit...

The most relevant practical impediment to an application of the Markowitz portfolio selectionapproach is the problem of estimating return moments, in particular return expectations. We analyzethe consequences of using return estimates implied by analysts’ dividend forecasts under the...

Several attempts have been made to reduce the impact of estimation errors on the optimalportfolio composition. On the one hand, improved estimators of the necessary momentshave been developed and on the other hand, heuristic methods have been generated to enhancethe portfolio performance, for...

In the literature, implied rates of return are suggested as estimators for future expected oneperiodreturns because of their property not being prone to the discount rate effect. The discount rateeffect describes the problem that changes in expected future one-period returns lead to...