-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation … return distribution has the slowest rate of convergence to normality among groups of assets. Estimation errors of the … imprecisions persist over the investment horizons, the estimation errors of the monthly return have a strong effect on the …

situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk … ; Naive diversification ; Out-ofsample performance ; Risk function ; Shrinkage estimation …In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …

overall equity market returns and volatility. The risk associated with investment decisions is measured by the exponential … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … is employed for the estimation of the hidden Markov model including the asset return parameters, while the out …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

an improper use of a block bootstrap method usually causes underestimation of the risk of a portfolio whose returns are … "time diversification". In this case, in order to choose the optimal portfolio, it is necessary to estimate the risk and …. To overcome these obstacles researchers rely heavily on block bootstrap methods. In this paper we demonstrate that the …

Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio … ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk … (VaR) or expected shortfall (ES) as risk measures. Often the latter is preferred as it deals better with risk in sub …