This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-risk exposure using Value-at-Risk (VaR). We find that VaR risk managers often optimally choose a larger exposure to risky assets than non-risk managers and...

We discuss in this paper Scheffe's method for constructing simultaneous confidence intervals which hold for all linear combinations of the parameters subject to the weight vector being restricted to a convex cone.

We discuss in this paper asymptotics of the sample average approximation (SAA) of the optimal value of a minimax stochastic programming problem. The main tool of our analysis is a specific version of the infinite dimensional delta method. As an example, we discuss asymptotics of SAA of risk...

The aim of this paper is to present a framework for asymptotic analysis of likelihood ratio and minimum discrepancy test statistics. First order asymptotics are presented in a general framework under minimal regularity conditions and for not necessarily nested models. In particular, these...