The relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems is established. One of the key results is that coherent risk measures are essentially equivalent to generalized arbitrage bounds, named "good deal bounds" by Cerny and Hodges...

This paper proposes a methodology for simultaneously computing a smooth estimator of the term structure of interest rates and economically justified bounds for it. It unifies existing estimation procedures that apply regression, smoothing and linear programming methods. Our methodology adjusts...