This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its mean, variance, skew...

This paper characterizes the term structure of risk measures such as Value at Risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with student-t errors, two-component GARCH models and a non-parametric bootstrap....

A large literature has considered predictability of the mean or volatility of stock returns but little is known about whether the distribution of stock returns more generally is predictable. We explore this issue in a quantile regression framework and consider whether a range of economic state...