Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time...

In this essay six societal challenges and research opportunities that confront 21st century Bayesian econometricians are briefly discussed using an important feature of modern Bayesian econometrics: conditional probabilities of a wide range of economic events of interest can be evaluated by...