We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside … protection when the benchmark performs poorly and thus they should integrate a form of downside risk control. We propose a …, the control of the downside risk is carried out through the presence of a floor benchmark with respect to which we can …

about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …

risk and returns that characterize the domestic and the foreign investment opportunity sets. Optimal portfolios and hedging …

consistently outperform the 1/N naive diversification strategy, which highlights estimation-risk concerns. Building from Stevens … mitigating estimation risk. Using five different data sets of disaggregate portfolio returns over the 1926-2012 period, we find …

income risk affects equity ownership turnover. A portfolio choice model with an income process extracted from survey data … risk. The model yields realistic estimates for the coefficient of relative risk aversion (= 3.09) and the discount factor …

Return jumps on equities exhibit slowly-decaying tail behavior admitting severe downside risk; moreover, heavy … risk. We find that, without jump ambiguity, a CRRA investor suffers negligible wealth losses from underestimating tail risk …

higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the … short selling the underlying security, i.e. transfer risk to a third party, something not properly developed in the domestic … necessary, in this paper we show the point calculating protection against downside risk in the Argentinean stock market, using …

-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …