estimates to account for parameter uncertainty. We find that for most European countries the dividend-price ratio and inflation …We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model … the long-horizon allocation. Parameter uncertainty plays a second-order role, dominated by strong variation in the dynamic …

follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to …

This paper extends the socially responsible multiobjective problem to (i) estimating optimal portfolios via reward/risk … return and economic performance, but at the same time portfolio risk, expected shortfall of portfolio returns below the … benchmark, and turnover are reduced. The copula-based predictive models lead to MOOPs with higher returns and reward/risk ratios …

Recently there has been a resurgence of interest in the study of optimal monetary policy under uncertainty. This book …

optimal monetary policy in the presence of uncertainty, with both open- and closed-economy frameworks considered. The authors …