We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …

-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on …Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem … problems of traditional mean-variance optimization originating from model- and estimation errors. In order to simultaneously …

. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …