“...This paper considers a U.S. institutional investor who is implementing a long‐term portfolio allocation using forecasts of financial returns. We compare the...”

“...This article presents a general framework for identifying and modeling the joint-tail distribution based on multivariate extreme value theories. We argue that...”

“...Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of...”

“...The increase in life expectancy over the past several decades has been impressive and represents a key challenge for institutions that provide life insurance...”

“...The Gram–Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal...”

“...This paper shows that institutional sell-side herding increased bid–ask spreads and liquidity risk during the 2007–8 financial crisis. Such an impact on...”

“...This article introduces a model, based on the Kalman-filter framework, that allows for time-varying parameters, latent factors, and a general generalized...”

“...A significant autocorrelation of returns, also called predictability, may indicate market inefficiency. To test whether market efficiency has improved in...”