In an environment of near-zero yields for traditional asset classes and tightening bank regulation, debt in privately arranged loans has become an interesting alternative to publicly distributed bonds for borrowers and professional investors. Key questions for potential investors concern the...

Two important problems arising in traditional asset allocation methods are the sensitivity to estimation error of portfolio weights and the high dimensionality of the set of candidate assets. In this paper, we address both issues by proposing a new minimum description length criterion for...