model-risk; including the practitioner's experience within a sound statistical framework; computing the investor's optimal …

correlation, the multivariate model tends to produce forecasts of tail risk which are lower than the realized tail risk, under the … normality assumption. Chapter 3 finds that a risk factor, constructed from high frequency market price data and representing the …. Small, growth and high beta portfolios are particularly subject to the asymmetry risk. A multi-factor pricing model with the …