We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model … the long-horizon allocation. Parameter uncertainty plays a second-order role, dominated by strong variation in the dynamic … allocation itself induced by large variations in the state variables. The market timing appears economically relevant for many …

portfolio must make is the portfolio's asset allocation. Asset allocation refers to the percentage of amount invested in various … which minimizes risk and maximizes the return of the portfolio. The optimal weights indicating the amount of money to be …

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …