An important challenge of portfolio allocation arises when the (true) characteristics of returns' distribution are replaced by sample estimates. Such substitutions introduce estimation risk, which adds to traditional financial risk. I develop a new framework to provide a feasible optimal...

We consider models defined by conditional moment restrictions under semi-strong identification. Identification strength is directly defined through the conditional mo- ments that flatten as the sample size increases. The framework allows for different iden- tification strengths across...

We consider conditional moment models under semi-strong identification. Identification strength is directly defined through the conditional moments that flatten as the sample size increases. Our new minimum distance estimator is consistent, asymptotically normal, robust to semi-strong...

In the last two decades, there has been a lot of empirical evidence suggesting that many macroeconometric and financial models (e.g. for inflation, interest rates, or exchange rates) are subject to both parameter instability and identification problems. In this paper, we address both issues in a...

An important challenge of portfolio allocation arises when the (true) characteristics of returns' distribution are replaced by sample estimates. Such substitutions introduce estimation risk, which adds to traditional financial risk. I develop a new framework to provide a feasible optimal...