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Semiparametric dynamic portfolio choice with multiple conditioning variables

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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