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: G10 G12 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2001
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Citations: View citations in EconPapers (177)

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Related works:
Journal Article: Variable Selection for Portfolio Choice (2001)
Working Paper: Variable Selection for Portfolio Choice (2001)
Working Paper: Variable Selection for Portfolio Choice (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:manito:34

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