This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the international stock markets from a high-frequency perspective. We construct a composite UI based on the scaled principal component analysis (s-PCA) method and demonstrate that...

Since securities markets are subject to a great deal of uncertainty and complexity, the returns of securities cannot be accurately estimated by historical data. In this case, it must use experts’ knowledge and judgment. Therefore, we investigate portfolio selection problems in such uncertain...

We generalize the concept of "systematic risk" to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different approaches. First is an equilibrium framework generalizing the Capital...