This paper presents a general reward-risk portfolio selection model and derives sufficient conditions for two-fund separation. In particular we show that many reward-risk models presented in the literature satisfy these conditions

We propose a multivariate nonparametric technique for generating reliable short-term historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and covariance matrix of a multivariate interest...