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

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

assumed to modulate the systematic risk in part by observing how the benchmark returns are related to some set of imperfect …