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We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …
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In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and … actuarial science that takes into account model uncertainty in the distribution of a possibly infinite-dimensional risk factor …. We study convex risk functionals that incorporate a safety margin with respect to nonparametric uncertainty by penalizing …
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