We derive analytical expressions for the risk of an investor’s expected utility under parameter
uncertainty. In particular, our analysis focuses on characterizing the out-of-sample utility …

In this paper, we build estimation error in mean returns into the mean-variance (MV)
portfolio theory under the assumption that returns on individual assets follow a joint normal …

Naive asset allocation and other ad-hoc techniques are commonly practiced by fund
managers in the industry. Such strategies, however, are deemed mean-variance (MV) sub-optimal …

This article discusses the portfolio selection problem from a Bayesian perspective. In doing
so, I first provide an overview of the portfolio problem and motivate the decision-making …

Our paper contributes to the recent macroprudential policy addressing the resilience of
financial systems in terms of their interconnectedness. We argue that beneath an interbank …

This dissertation is comprised of three chapters on financial institutions and risk management,
which revolve around portfolio theory, asset pricing, financial networks, and banking. My …

This article contributes to reproducible research in portfolio selection using R. In particular,
we evaluate several portfolio rules used in the literature by utilizing different publicly available …

We propose a simple approach to bridge between portfolio theory and machine learning. The
outcome is an out-of-sample machine learning efficient frontier based on two assets, high …

We consider a joint distribution that decomposes asset returns into two independent components:
an elliptical innovation (Gaussian) and a systematic non-elliptical latent process. The …

This paper models ambiguity as a second dimension of investor preferences, extending the
CAPM framework to incorporate ambiguity aversion alongside risk aversion. We derive an …