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...

Investors need performance measures particularly as a means for funds selection in the process of exanteportfolio optimization. Unfortunately, there are various performance measures recommended for differentdecision situations. Since an investor may be uncertain which kind of decision problem is...

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...

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...