, practitioners and researchers. However, little attention has been paid to the predictability of their risk measures. In this paper …, we compare the predictability of the one-step-ahead volatility and Value-at-Risk of Bitcoin using several volatility … models. We also include procedures that take into account the presence of outliers and estimate the volatility and Value-at-Risk …

uncertainty. By using duality theory, we show that the robust portfolio selection problem via learning with a mixture model can be …

ambiguous risk can influence the desired outcomes of the mitigating strategy. To address these issues, we first propose a robust …