In traditional portfolio theory, risk management is limited to the choice of the relative weights of the riskless asset and a diversified basket of risky securities, respectively. Yet in industry, risk management represents a central aspect of asset management, with distinct responsibilities and...

We study the implications of predictability on the optimal asset allocation of ambiguity-averse long-term investors and analyze the term structure of the multivariate risk-return trade-off considering parameter uncertainty. We calibrate the model to real returns of US stocks, long-term bonds,...

In traditional portfolio theory, risk management is limited to the choice of the relative weights of the riskless asset and a diversifed basket of risky securities, respectively. Yet in industry, risk management represents a central aspect of asset management, with distinct responsibilities and...

This paper analyzes the energy manager's investment decision in renewable energy technologies in the presence of uncertain production volumes. In this model, we assume the energy manager to be a price taker who aims at minimizing the cost to cover the firm's electricity demand, by deciding upon...

Minimum-variance (equity) portfolio selection is increasingly popular among investors. We study a broad set of 63 different, commonly used approaches to build long-only minimum-variance portfolios among US as well as European stocks. We focus on the stock picking characteristics of...

We highlight the impact of capital quality, i.e., the depreciation rate of capital assets, on firms' investment behavior, endogenous output price dynamics, and industry equilibrium outcomes. To rigorously examine this question, a continuous-time model of dynamic capacity investment under...