The cryptocurrency market offers attractive but risky investment opportunities, characterized by rapid growth, extreme volatility, and uncertainty. Traditional risk management models, which rely on probabilistic assumptions and historical data, often fail to capture the market's unique dynamics...

We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is...