We introduce nonparametric estimators of the sensitivity of distortion risk measure with re-spect to portfolio allocation. These estimators are used to derive the estimated e±cient portfolioallocations when distortion risk measures de¯ne the constraints and the objectives, to study...

Dai, Singleton (2000) introduced a typology of affine diffusion models when the domain ofadmissible values of the factors is an intersection of half planes and under some additional constraintson the parameters. This condition on the domain and the additional sufficient constraintsare...