The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz portfolio optimization. Against this background, in 1992 Black and Litterman developed an approach based on (theoretically established) expected equili-brium returns which...

Since the equity premium as well as the risk-free rate puzzle question the concepts central to financial and economic modeling, we apply behavioral decision theory to asset pricing in view of solving these puzzles. U.S. stock market data for the period 1960-2003 and German stock market data for...

We show analytically under quite general conditions that implied rates of return based on analysts' earnings forecasts are only a downward biased estimator for future expected one-period returns and therefore not suited for computing market risk premia. The extent of this bias is substantial as...

Es wurde ein Wertpapiermarktmodell entwickelt, in dem Preise explizit in Abhängigkeit der Konsumentenspezifikationen determiniert sind. Die Struktur der überlappenden Generationen diente der Erzeugung von Handel zwischen jungen und alten Konsumenten. Dabei spielte es keine Rolle, ob die...