market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor … dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general … duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal …

post rate of return and lower volatility than competing portfolios …

unstable portfolio weights and serious estimation error. To attenuate these problems, this paper proposes a new latent factor …

sampling error in the asset covariance matrix leads to systematic biases in the volatility and correlation forecasts of these … asset covariance matrix contain estimation error. In this paper, we explore the impact of sampling error in the covariance … several adverse effects, such as: (a) under-forecasting of risk, (b) increased out-of-sample volatility, (c) increased …