I attempt to address an important issue of the portfolio allocation literature -- none of the allocation rules developed in prior literature seems to consistently deliver good performance across different asset samples. For this purpose, I develop an approach that aggregates information from...

We develop a Bayesian framework for estimating high quantiles of the relative return loss distribution of equity portfolios. This framework allows for the incorporation of both quantitative data via a parametric model for the loss distribution as well as qualitative information, specified...