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 … the long-horizon allocation. Parameter uncertainty plays a second-order role, dominated by strong variation in the dynamic …

this 0-1 knapsack problem, retailers should also consider the risk associated with every assortment. While every product in … the assortment offers an expected return, there is also uncertainty around its expected demand and profit contribution …. Therefore, retailers face the difficult task of designing a portfolio of products that balances risk and return. In this paper …

risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …Covariance appears throughout investment management, e.g., in risk reporting and control, portfolio construction, risk … number to a mean and standard deviation, the latter representing uncertainty. Applications include more informative portfolio …