Estimation risk is known to have a huge impact on mean/variance optimized portfolios,
which is one of the primary reasons to make standard Markowitz optimization unfeasible in …

Black and Litterman showed that a Bayesian adjustment to expected-return forecasts makes
them more suitable for use in portfolio management. A new adjustment applies directly to …

World financial markets are becoming integrated. Hence, global factors rather than domestic
factors should dominate the pricing of stocks. All the empirical studies published until the …

The fact that mean-variance optimisers are highly sensitive to changes in expected returns is
well known in investment practice. A common approach is therefore to turn the problem …

The authors establish a dynamic asset allocation strategy investing in EAFE and the S&P
500 indexes to time the market and generate a superior abnormal return on a portfolio. A …

Institutional investors have long recognized that asset allocation is the most crucial decision
required to achieve their investment goals. The basic asset allocation problem is to decide …

In investment practice and in modern financial economics, the classical assumption of
identically and independently distributed (iid) returns over time, made by the basic version of …

The use of correlation between forecasts and actual returns is commonplace in the literature,
often used as a measurement of investors' skill. A prominent application of this is the concept …

The role of international property investments in the global asset allocation process Page 1
Copyright of Full Text rests with the original copyright ownerand, exceptas pennitt~ underth …

In der modernen Finanzmarktforschung hat die Prognostizierbarkeit von
Finanzmarktrenditen seit Mitte der achtziger Jahre vermehrt Beachtung gefunden. Studien …