The estimation of expected security returns is one of the major tasks for the practical implementationof the Markowitz portfolio optimization. Against this background, in 1992 Black and Littermandeveloped an approach based on (theoretically established) expected equilibrium returns whichaccounts...

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...

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...

In this paper we develop the rst estimator of the covariance matrix that relies solely onforward-looking information. This estimator only uses price information from a cross-sectionof plain-vanilla options. In an out-of-sample study for US blue-chip stocks we show that aminimum-variance strategy...

Investors need performance measures particularly as a means for funds selection inthe process of ex-ante portfolio optimization. Unfortunately, there are various performancemeasures recommended for different decision situations. Since an investor may be uncertainwhich kind of decision problem is...

The requirement of existing utility with positive first derivative only makes it pos-sible to derive a restricted two-fund separation theorem for portfolio selection problems withHARA utility replacing the original separation theorem of Cass and Stiglitz (1970). We useour findings for a brief...

We consider investors with mean-variance-skewness preferences who aim at select-ing one out of F different funds and combining it optimally with the riskless asset and directstock holdings. Direct stock holdings are either exogenously or endogenously determined. Inour theoretical section, we...

Our main goal is the generalization of the approach of Jobson and Korkie(1984) forfunds performance evaluation. Therefore, we consider the portfolio selection problem of aninvestor who faces short sales restrictions when choosing among F different investment fundsand assume the investor's...

Es wird ein sinnvoll gestaltetes Performancemaß zur Reihung von Wertpa-pierfonds entwickelt, das auf Erwartungswert-Risiko-Präferenzen beruht. Zu diesem Zweck wird alsRisikokomponente das in Gürtler (2001) präsentierte sogenannte duale Risiko den Präferenzenzugrunde gelegt, das eine...