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~subject:"Kapitaleinkommen"
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Kapitaleinkommen
Theorie
190
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190
United States
92
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80
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74
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73
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Brandt, Michael W.
33
Cochrane, John H.
31
Santa-Clara, Pedro
28
Diebold, Francis X.
7
Beber, Alessandro
5
Ferreira, Miguel A.
5
Goyal, Amit
5
Kang, Qiang
5
Valkanov, Rossen I.
5
Ghysels, Eric
4
Longstaff, Francis A.
4
Valkanov, Rossen
4
Piazzesi, Monika
3
Aït-Sahalia, Yacine
2
Barroso, Pedro
2
Luisi, Maurizio
2
Stroud, Jonathan R.
2
Ait-Sahalia, Yacine
1
Binsbergen, Jules H. van
1
Brav, Alon
1
Cen, Jason
1
Chapman, David A.
1
Fichtner, Luiz Paulo
1
Graham, John R.
1
Kavajecz, Kenneth A.
1
Kumar, Alok
1
Maio, Paulo
1
Maio, Paulo F.
1
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National Bureau of Economic Research
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NBER working paper series
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10
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6
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4
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3
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ECONIS (ZBW)
80
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1
Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
- In:
The review of financial studies
22
(
2009
)
9
,
pp. 3411-3447
Persistent link: https://www.econbiz.de/10003885704
Saved in:
2
A simulation approach to dynamic portfolio choice with an application to learning about return predictability
Brandt, Michael W.
;
Goyal, Amit
;
Santa-Clara, Pedro
; …
-
2004
Persistent link: https://www.econbiz.de/10002485076
Saved in:
3
Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
-
2004
Persistent link: https://www.econbiz.de/10002499370
Saved in:
4
A simulation approach to dynamic portfolio choice with an application to learning about returns 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/10003133514
Saved in:
5
Parametric Portfolio Policies : Exploiting Characteristics in the Cross-Section of Equity Returns
Brandt, Michael W.
-
2010
We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return...
Persistent link: https://www.econbiz.de/10013151008
Saved in:
6
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
Brandt, Michael W.
-
2009
We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary...
Persistent link: https://www.econbiz.de/10012767619
Saved in:
7
Parametric Portfolio Policies : Exploiting Characteristics in the Cross Section of Equity Returns
Brandt, Michael W.
-
2004
We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return...
Persistent link: https://www.econbiz.de/10012467691
Saved in:
8
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
Brandt, Michael W.
-
2004
We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary...
Persistent link: https://www.econbiz.de/10012467753
Saved in:
9
Two trees
Cochrane, John H.
;
Longstaff, Francis A.
;
Santa-Clara, Pedro
- In:
The review of financial studies
21
(
2008
)
1
,
pp. 347-385
Persistent link: https://www.econbiz.de/10003716171
Saved in:
10
Two trees : asset price dynamics induced by market clearing
Cochrane, John H.
;
Longstaff, Francis A.
;
Santa-Clara, Pedro
-
2003
Persistent link: https://www.econbiz.de/10001852332
Saved in:
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