We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model … estimates to account for parameter uncertainty. We find that for most European countries the dividend-price ratio and inflation …

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 …