The ongoing debate concerning credit concentration risk is mainly driven by the requirementson credit risk management due to Pillar 2 of Basel II since risks (e.g. concentration risk) that arenot fully captured by Pillar 1 should be adequately considered in the banks’ risk management....

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...

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...

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...

Dieses Buch bildet den zweiten Teil einer umfassenden Gesamtdarstellung zum Portfoliomanagement. Während in Band I die konzeptionellen Grundlagen der Portfolioselektion von Investoren sowie die Portfoliooptimierung nach Markowitz dargestellt werden, enthält Band II vor allem Alternativen zur...