possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a … results show that the bootstrap procedure performs well in finite samples. The empirical application reveals that the Fama and …

, we perform simulations leading to the conclusion that, under classical estimation, model risk bias dominates estimation …This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and … risk bias. Finally, we suggest a diagnostic tool to warnthe analyst of the presence of extreme returns that have an …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …

in the current paper, it turns out that using the Bartlett kernel in the long-run variance estimation renders the most …

. The cluster sizes are assumed to be large. We …nd that the conventional estimation technique suggested by the literature … recommend that our proposal be implemented in the software of GLMM techniques so that the estimation procedure can switch …