Normandin, Michel; St-Amour, Pascal - Centre Interuniversitaire de Recherche en Analyse des … - 2005
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use …, and strategic portfolio allocations. We then compare these rules to the data through formal statistical analysis. Our main … allocations are strongly supported, and iii) the Fama-French factors best explain empirical portfolio shares. Ce papier analyse la …