Variable Selection for Portfolio Choice
نویسندگان
چکیده
منابع مشابه
Variable Selection for Portfolio Choice
We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determine directly the dependence of the optimal portfolio weights on the predictive variables. We combine the predictors into a single index that best captures time variations in investment opportunities...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2001
ISSN: 0022-1082
DOI: 10.1111/0022-1082.00369