empirical and considers the case of Italy, one of the world’s largest debt issuer. We study the potential effects on the …

distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational … efficiency. We evaluate various alternative estimation methods in an application example and conclude that the proposed approach …

approximately same estimation success. As a result, we showed that this model provides the same success by using less number of …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

The Markowitz mean-variance optimizing framework has served as the basis for modern portfolio theory for more than 50 … available data. In this paper we address these issues of estimation error by regularizing the Markowitz objective function …

riskiness of the portfolio. This represents a departure from the existing literature on agency theory in that moral hazard is … portfolio. This represents a departure from the existing literature on agency theory in that moral hazard is not only effort …

the model using the method of moments. Finally, we illustrate our portfolio optimization and estimation procedure by …