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Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen - In: The review of financial studies 22 (2013) 9, pp. 3411-3410
Persistent link: https://www.econbiz.de/10010113831
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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - In: The review of financial studies 18 (2013) 3, pp. 831-830
Persistent link: https://www.econbiz.de/10010114559
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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - In: The review of financial studies 18 (2005) 3, pp. 831-874
Persistent link: https://www.econbiz.de/10007022904
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DYNAMIC PORTFOLIO SELECTION BY AUGMENTING THE ASSET SPACE
Brandt, Michael W.; Santa-Clara, Pedro - 2004
Persistent link: https://www.econbiz.de/10006964405
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INTERNATIONAL RISK SHARING IS BETTER THAN YOU THINK (OR EXCHANGE RATES ARE MUCH TOO SMOOTH)
Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - 2001
Persistent link: https://www.econbiz.de/10006978168
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The 2001 JBES Invited Paper - Comment - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion
Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 321-324
Persistent link: https://www.econbiz.de/10008216275
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International risk sharing is better than you think, or exchange rates are too smooth
Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - In: Journal of monetary economics 53 (2006) 4, pp. 671-698
Persistent link: https://www.econbiz.de/10007632845
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210
Persistent link: https://www.econbiz.de/10006510507
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Dynamic Portfolio Selection by Augmentingthe Asset Space
Brandt, Michael W.; Santa-Clara, Pedro - In: The journal of finance : the journal of the American … 61 (2006) 5, pp. 2187-2218
Persistent link: https://www.econbiz.de/10007293148
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SIMULATED LIKELIHOOD ESTIMATION OF DIFFUSIONS WITH AN APPLICATION TO EXCHANGE RATE DYNAMICS IN INCOMPLETE MARKETS
Brandt, Michael W.; Santa-Clara, Pedro - 2001
Persistent link: https://www.econbiz.de/10005948160