Showing 1 - 10 of 17,238
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...
Persistent link: https://www.econbiz.de/10008797745
Persistent link: https://www.econbiz.de/10010188972
This paper incorporates Bayesian estimation and optimization into portfolio selection framework, particularly for high …
Persistent link: https://www.econbiz.de/10013222153
Persistent link: https://www.econbiz.de/10013197598
Persistent link: https://www.econbiz.de/10011698876
Persistent link: https://www.econbiz.de/10012000816
Persistent link: https://www.econbiz.de/10012153463
Persistent link: https://www.econbiz.de/10014536811
Persistent link: https://www.econbiz.de/10013262618
Persistent link: https://www.econbiz.de/10011700360