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....

We investigate the influence of residual serial correlation and of the time dimension on statistical inference for a unit root in dynamic longitudinal data, known as panel data in econometrics. To this end, we introduce two test statistics based on method of moments estimators. The first is...