The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz optimization. Against this background, in 1992 Black and Litterman developed an approach based on (theoretical established) expected equilibrium returns which also accounts for...

The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz portfolio optimization. Against this background, in 1992 Black and Litterman developed an approach based on (theoretically established) expected equili-brium returns which...

The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including risk-adjusted pricing. Depending on the quality of the estimation of LGDs, banks can gain significant competitive advantage. For bank loans, the estimation is usually based on...

Intro; 1. Introduction; 2. The German Electricity Market; 3. Forecasting Performance of; 4. Forecasting Performance of Time Series Models: Empirical Study; 5. The Effect of Wind and Solar Power on Electricity Prices; 6. Conclusion