We study the realized risk of Markowitz portfolio computed using parameters estimated from data and generalizations to similar questions involving the out-of-sample risk in quadratic programs with linear equality constraints. We do so under the assumption that the data is generated according to an elliptical model, which allows us to study models where we have heavy-tails, tail dependence, and ...

s of Invited Talks from UAI 2016 Interpretable Policies for Dynamic Product Recommendations . . . . . . . . . . 56 Marek Petrik, Ronny Luss Scalable Joint Modeling of Longitudinal and Point Process Data for Disease Trajectory Prediction and Improving Management of Chronic Kidney Disease . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 Jose...

MPT is a novel multipath technology based on the GRE in UDP tunnel specification. In this paper, the conceptual architecture of MPT is disclosed. The designed structure of MPT includes several useful components: the possibility for external software modules to change the run-time parameters (by using the control interface), the choice between flow-based and packet based mappings of tunnel traff...

Episodic memory involves a mechanism that binds information into a coherent representation structure. Especially, more complex memory structures are required when there are more overlapping elements among different episodes (Humphreys, Bain & Pike, 1989), and the ability to use memory structures of different complexities increases throughout development (Yim, Dennis, & Sloutsky, 2013). Although...

This paper studies portfolio choice and pricing in markets in which immediate trading may be impossible. It departs from the literature by removing restrictions on asset holdings, and finds that optimal positions depend significantly and naturally on liquidity: When expected future liquidity is high, agents take more extreme positions, given that they do not have to hold those positions for lon...

Theoretical studies of bank existence reveal the importance of informational asymmetries (cf., for example, Diamond (1984)). This might suggest that banks specialise their loan origination in specific industries to exploit information advantages. However, modern portfolio theory, although not directly applicable to banks, as well as the concept of herding behaviour would instead tend to imply t...

Conventional rules of thumb represent simple, but potentially inefficient, alternatives to dynamic programming solutions. This paper seeks an intermediate ground by developing a framework for selecting optimal rules of thumb. Defining rules of thumb as simple functions of state variables, I solve for the optimal parameters of specific rules of thumb for portfolio choice and consumption. In the ...

Motivated by the success of internal habit formation preferences in explaining asset pricing puzzles, we introduce these preferences in a life-cycle model of consumption and portfolio choice with liquidity constraints, undiversifiable labor income risk and stock-market participation costs. In contrast to the initial motivation, we find that the model is not able to simultaneously match two very...

In the context of asset and liability management, we propose a portfolio selection model based on the expected return of the assets and the economic risk capital (ERC) associated to the asset liability portfolio, for short called mean-ERC asset liability portfolio selection. MeanERC efficiency in asset and liability management is closely related and compared to meanvariance efficiency in asset ...

Intellectual property rights are essential in today’s technology-driven age. Building a strategic IP portfolio is economically important from both an offensive and defensive standpoint. Applicable areas in Nanotechnology to which intellectual property rights can apply are presented. Some challenging issues surrounding the acquisition of IP rights in Nanotechnology are also presented. The Import...