and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … the large covariance matrices relevant in asset pricing, asset allocation and financial risk management applications …

specifications asset allocations in the presence of estimation risk exhibit sensitivity to those differences …

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values … assumptions invoked by existing methodologies (such as normality or i.i.d. returns). The Conditional Value at Risk or CAViaR model …

(and the coefficient of relative risk aversion) from regressions of consumption growth on uncertainty in consumption growth … imply estimates of prudence and risk aversion that are unrealistically low. Using numerical solutions to a fairly standard …

) optimal in Robbins' (1955, 1964) sense; (ii) the minimum risk equivariant estimator; and (iii) minimax in both the frequentist … and Bayesian problems over a class of nonGaussian error distributions. Also, the asymptotic frequentist risk of the … minimum risk equivariant estimator is shown to equal the Bayes risk of the (infeasible subjectivist) Bayes estimator in the …