Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias, which generally is not estimated consistently when using the bootstrap and conventionally smoothed function estimators. To overcome this problem it is common practice to either...

Given additional distributional information in the form of moment restrictions, kernel density and distribution function estimators with implied generalised empirical likelihood probabilities as weights achieve a reduction in variance due to the systematic use of this extra information. The...

Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice depending on multiple conditioning variables, where the number of the conditioning variables can be either fixed or...