about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …

implementation of the ICAPM, which captures market risk and intertemporal risk (i.e., changes in long-term expected returns and … volatility). We build our intertemporal risk factors as mimicking portfolios for changes in dividend yield and realized … volatility and demonstrate that, ex-post, they capture news to long-term expected returns and volatility. Our estimated risk …

in calculates portfolio's Value at Risk. The theoretical foundation, algorithm and numerical example of the method are …