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...

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...

Several attempts have been made to reduce the impact of estimation errors on the optimalportfolio composition. On the one hand, improved estimators of the necessary momentshave been developed and on the other hand, heuristic methods have been generated to enhancethe portfolio performance, for...

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...

Due to the recent downturn in international equity markets, the interest in real-estate investments has soared. However, the well-known problems of direct real-estate investments complicate becoming well-diversified with this investment class. Indirect real-estate investments can provide a...

As past research suggest, currency exposure risk is a main source of overall risk of internationaldiversified portfolios. Thus, controlling the currency risk is an important instrument forcontrolling and improving investment performance of international investments. This studyexamines the...

Estimation risk is known to have a huge impact on mean/variance (MV) optimized portfolios,which is one of the primary reasons to make standard Markowitz optimization unfeasible inpractice. Several approaches to incorporate estimation risk into portfolio selection are suggestedin the earlier...

The present paper seeks to study the possible diversification potential by the integration ofindirect real estate investments in international portfolios. To this end, monthly index-returntime-series in the time-period from January 1985 till December 1998 from real estate investmentcompanies as...