In this paper, we develop a robust non-parametric realized integrated beta estimator using high-frequency financial data contaminated by microstructure noises, which is robust to the stylized features, such as the time-varying beta and the dependence structure of microstructure noises. With this...

We develop a normative theory for constructing mean-variance portfolios robust to model misspecification. We identify two inefficient portfolios---an "alpha'' portfolio, representing latent asset demand, that depends only on pricing errors and a "beta'' portfolio that depends on factor risk...

Most literatures about robust optimal reinsurance-investment problem aim to maximum the value function under the worst-case scenario, but some insurers are optimistic, so it is more reasonable to consider a more smooth criterion named $\alpha$-maxmin criterion which seek a balance between the...

Central banks wish to avoid self-fulfilling fluctuations. Monetary rules with a unit response to real rates achieve this under the weakest possible assumptions about the behaviour of households and firms. They are robust to household heterogeneity, hand-to-mouth consumers, non-rational...

We introduce the package ddml for Double/Debiased Machine Learning (DDML) in Stata. Estimators of causal parameters for five different econometric models are supported, allowing for flexible estimation of causal effects of endogenous variables in settings with unknown functional forms and/or...

Given limited network information, we consider robust risk quantification under the Eisenberg-Noe model for financial networks. To be more specific, motivated by the fact that the structure of the interbank network is not completely known in practice, we propose a robust optimization approach to...

A monopoly seller who faces ambiguity about the consumption plans of a buyer wishes to design a robust price menu that maximizes her guaranteed (worst-case) profit. We show that an optimal total-price menu can simply be linear in quantity under general conditions and that this qualitative result...