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 ongoing debate concerning credit concentration risk is mainly driven by the requirements on credit risk management due to Pillar 2 of Basel II since risks (e.g. concentration risk) that are not fully captured by Pillar 1 should be adequately considered in the banks' risk management. This...

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...