It is well known that estimated mean-variance portfolios deliver, on average, poor out-of-sample performance. A lesser-known fact that we characterize in this paper is that their out-of-sample performance is also very volatile. Using our analytical characterization of out-of-sample performance...

We show how the position of a limit order in the queue influences the decision of whether to cancel the order or let it rest. Using ultra high-frequency data from the Nasdaq exchange, we perform empirical analysis on various limit order book events and propose novel ways for modelling some of...

Important sources of risk in agriculture are yield and price fluctuations caused by unpredictable and uncontrollable events, inducing income volatility and adding considerable complexity to farmers’ decisions. The literature suggests that these events could affect farmers’ risk aversion in...

This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk-free asset existing situations, of the mean-variance-skewness (MVS) optimization model subject to mean-sknewness-normalization constraints for portfolio selection. The efficient frontier...

In this study, we construct financial networks in which nodes are represented by assets and where edges are based on long-run correlations. We construct four networks (complete graph, a minimum spanning tree, a planar maximally filtered graph, and a threshold significance graph) and use three...

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman-Pearson type binary solution. We add a constraint on expected return to investigate...

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where risk is measured using a dynamic time-consistent risk measure. For this, we introduce a notion of dynamic risk contributions that generalise the classical Euler contributions and...

The aim of this paper is to provide more transparency regarding risk parity portfolios. We design a structural framework to properly describe, evaluate, and improve the performance characteristics of risk parity portfolios. This is achieved by segregating the input parameter for the risk parity...