Variable Selection for Portfolio Choice.

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

Year of publication:	2001
Authors:	Ait-Sahalia, Y. ; Brandt, M.W.
Institutions:	Economics Department, University of Manitoba
Subject:	FINANCIAL MARKET \| ECONOMETRICS \| ECONOMIC MODELS

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Series:	Manitoba - Department of Economics.
Type of publication:	Book / Working Paper
Notes:	54 pages
Classification:	G12 - Asset Pricing ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005776632