This book provides a comprehensive treatment of all the steps of asset allocation: detecting the market invariants; estimating the invariants' distribution; modeling the market at any horizon; defining optimality; accounting for estimation- and model-risk; including the practitioner's experience...

This paper reexamines the Equity Premium Puzzle for the German stock market with control for inflation and taxation. Two methods for relaxing the assumption of aggregate consumption being equal to aggregate dividends are compared: the leverage approach and the usage of a bivariate stochastic...

There are various parametric models to analyse the volatility in time series of financial market data. For maximum likelihood estimation these parametric methods require the assumption of a known conditional distribution. In this paper we examine the conditional distribution of daily DAX returns...