The literature on the effects of parameter uncertainty on optimal portfolio choice suggests the existence of a premium for parameter uncertainty in asset returns. We use a simple extension to classical mean-variance portfolio optimization and devise a robust strategy to benefit from such a...

We develop a simulation algorithm that generates multivariate samples with exact means, covariances, and multivariate skewness. If required for financial applications, absence of arbitrage can be ensured. Potential applications include the simulation of risk factors for the risk management of...