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Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables
Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zudi - Department of Economics and Related Studies, University … - 2015
Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice with multiple conditioning variables, where the number of the conditioning variables can be either fixed or diverging...
Persistent link: https://www.econbiz.de/10011166134
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Semiparametric dynamic portfolio choice with multiple conditioning variables
Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zudi - 2015
Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice depending on multiple conditioning variables, where the number of the conditioning variables can be either fixed or...
Persistent link: https://www.econbiz.de/10011445715
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Estimation in generalised varying-coefficient models with unspecified link functions
Zhang, Wenyang; Li, Degui; Xia, Yingcun - In: Journal of econometrics 187 (2015) 1, pp. 238-255
Persistent link: https://www.econbiz.de/10011498938
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Semiparametric dynamic portfolio choice with multiple conditioning variables
Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015
Persistent link: https://www.econbiz.de/10010515948
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Semiparametric dynamic portfolio choice with multiple conditioning variables
Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - In: Journal of econometrics 194 (2016) 2, pp. 309-318
Persistent link: https://www.econbiz.de/10011705164
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Semiparametric dynamic portfolio choice with multiple conditioning variables
Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015
Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice depending on multiple conditioning variables, where the number of the conditioning variables can be either fixed or...
Persistent link: https://www.econbiz.de/10010481119
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Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun; Li, Degui; Linton, Oliver; Wang, Hanchao - 2022 - This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439