We examine the interplay between event risk, transaction costs and predictability on the dynamic asset allocation of an … event risk on asset allocations, hedging demands, no-trading regions, and certainty equivalent returns. It is found that … event risk shrinks hedging demand. Neglecting event risk can also lead to sizeable certainty equivalent return losses …

a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting … studies have shown and translate into substantial utility gains from the perspective of an investor with pronounced risk …