This thesis examines the performance of different models of conditional betas and higher comoments in the context of the cross-section of expected stock returns, both in-sample and out-of-sample. I first examine the performance of different conditional market beta models by using monthly returns...

The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....