Three papers in asset allocation, arbitrage pricing theory, and risk management

This thesis is divided into three distinct papers. The first paper deals with the Black-Litterman model, explain it, and develop an econometric method that yields a consistent estimate of one of the most discussing parameters of the Black-Litterman model given by the τ parameter. In the second paper, the arbitrage pricing theory under implicit transaction costs will be discussed, the main result being the proof of the first fundamental theorem of asset pricing. It is also shown that when an equivalent probability measure is unique any contingent claim can be hedged in an L2-sense. Finally, the last paper presents a new framework for measuring the liquidity risk. In particular, the paper introduces a new class of risk measures which contrary to the standard risk measures are able to capture the liquidity risk defined as the risk that a security or a portfolio of securities cannot be easily sold or bought without having an influence on the securities prices.