Castro, Carlos - In: Financial Markets and Portfolio Management 24 (2010) 4, pp. 353-393
This article extends the parametric portfolio policy approach to optimizing portfolios with a large numbers of assets (Brandt et al. <CitationRef CitationID="CR10">2009</CitationRef>). The proposed approach incorporates unobserved effects into the portfolio policy function. These effects measure the importance of unobserved heterogeneity...</citationref>