Multiple regression model averaging and the focused information criterion with an application to portfolio choice
Year of publication: |
2019
|
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Authors: | Klimenka, Filip ; Wolter, James Lewis |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 37.2019, 3, p. 506-516
|
Subject: | Bias-variance trade-off. | Focused information criterion | Model averaging | Model uncertainty | Portfolio choice | Portfolio-Management | Portfolio selection | Theorie | Theory | Modellierung | Scientific modelling | Bayes-Statistik | Bayesian inference |
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