Showing 1 - 10 of 755
The most relevant practical impediment to an application of the Markowitz portfolio selection approach is the problem of estimating return moments, in particular return expectations. We analyze the consequences of using return estimates implied by analysts' dividend forecasts under the explicit...
Persistent link: https://www.econbiz.de/10010307943
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...
Persistent link: https://www.econbiz.de/10010307947
The requirement of positive marginal utility only makes it possible to derive a restricted twofund separation theorem for portfolio selection problems replacing the original separation theorem of Cass and Stiglitz (1970). We use our findings for a re-examination of the bias-in-beta problem in...
Persistent link: https://www.econbiz.de/10010307949
Investors need performance measures particularly as a means for funds selection in the process of exante portfolio optimization. Unfortunately, there are various performance measures recommended for different decision situations. Since an investor may be uncertain which kind of decision problem...
Persistent link: https://www.econbiz.de/10010307957
Our main goal is the generalization of the approach of Jobson and Korkie(1984) for funds performance evaluation. Therefore, we consider the portfolio selection problem of an investor who faces short sales restrictions when choosing among F different investment funds and assume the investor's...
Persistent link: https://www.econbiz.de/10010307958
We consider investors with mean-variance-skewness preferences who aim at selecting one out of F different funds and combining it optimally with the riskless asset and direct stock holdings. Direct stock holdings are either exogenously or endogenously determined. In our theoretical section, we...
Persistent link: https://www.econbiz.de/10010307961
Coherent measures of a bank's whole risk capital imply a structure of a bank's optimal credit portfolio that is independent of its deposits and the expected deposit rate, of expected bankruptcy costs and of expected costs of regulatory capital.
Persistent link: https://www.econbiz.de/10010307963
Kimball's Prudence and Two-Fund Separation as Determinants of Mutual Fund Performance Evaluation We consider investors with mean-variance-skewness preferences who aim at selecting one out of F different funds and combining it optimally with the riskless asset and direct stock holdings. Direct...
Persistent link: https://www.econbiz.de/10014523183
Direkte Aktienengagements von Investoren und Performancemessung für Investmentfonds Performancemaße werden von Investoren insbesondere als Mittel zur Selektion von Investmentfonds im Rahmen von Ex-ante-Optimierungen verwandt. Unglücklicherweise existieren verschiedene Performancemaße für...
Persistent link: https://www.econbiz.de/10014523246
Derivative financial instruments are frequently used as a tool for influencing the risk ofentrepreneurial uncertain payoff. To this end, an approximation procedure is developed capable ofcalculating the optimal quantity of derivatives to be used. It is assumed that the entrepreneurial cashflow...
Persistent link: https://www.econbiz.de/10005840847