Portfolio optimization concerns with periodically allocating the limited funds to invest in a
variety of potential assets in order to satisfy investors' appetites for risk and return goals …

Modeling financial volatility is an important part of empirical finance. This paper provides a
literature review of the most relevant volatility models, with a particular focus on forecasting …

We propose a new framework for modeling and forecasting common financial risks based
on (un) reliable realized covariance measures constructed from high-frequency intraday …

We consider modeling and forecasting large realized covariance matrices by penalized
vector autoregressive models. We consider Lasso‐type estimators to reduce the …

This paper proposes a new model for high-dimensional distributions of asset returns that
utilizes mixed frequency data and copulas. The dependence between returns is …

We propose a novel specification of the Dynamic Conditional Correlation (DCC) model
based on an alternative normalization of the pseudo-correlation matrix called Projected …

We consider the well-studied problem of predicting the timevarying covariance matrix of a
vector of financial returns. Popular methods range from simple predictors like rolling window …

This study examines the intraday profitability and interactions among Buy-side Algorithmic
Traders (BATs), High-Frequency Traders (HFTs) and Non-Algorithmic Traders (NATs). When …

We study the optimal portfolio allocation problem from a Bayesian perspective using value at
risk (VaR) and conditional value at risk (CVaR) as risk measures. By applying the posterior …

We theoretically and empirically study portfolio optimization under transaction costs and
establish a link between turnover penalization and covariance shrinkage with the …