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Variable Selection for Portfolio Choice

Yacine Ait-Sahalia and M.W. Brandt

Working Papers from Manitoba - Department of Economics

Abstract: We study asset allocation when the conditional moments of returns are partly predictable.

Keywords: FINANCIAL MARKET; ECONOMETRICS; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: G12 G10 (search for similar items in EconPapers)
Date: 2001
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