A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection
Author
Abstract
Suggested Citation
Note: obl20, sl736
Download full text from publisher
References listed on IDEAS
- Ledoit, Olivier & Wolf, Michael, 2004.
"A well-conditioned estimator for large-dimensional covariance matrices,"
Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
- Ledoit, Olivier & Wolf, Michael, 2000. "A well conditioned estimator for large dimensional covariance matrices," DES - Working Papers. Statistics and Econometrics. WS 10087, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Kelly, Bryan T. & Pruitt, Seth & Su, Yinan, 2019.
"Characteristics are covariances: A unified model of risk and return,"
Journal of Financial Economics, Elsevier, vol. 134(3), pages 501-524.
- Bryan Kelly & Seth Pruitt & Yinan Su, 2018. "Characteristics Are Covariances: A Unified Model of Risk and Return," NBER Working Papers 24540, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration," Monash Econometrics and Business Statistics Working Papers 16/13, Monash University, Department of Econometrics and Business Statistics.
- Olivier Ledoit & Michael Wolf, 2017. "Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks," The Review of Financial Studies, Society for Financial Studies, vol. 30(12), pages 4349-4388.
- John Y. Campbell & Robert J. Shiller, 1988.
"Stock Prices, Earnings and Expected Dividends,"
Cowles Foundation Discussion Papers
858, Cowles Foundation for Research in Economics, Yale University.
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
- Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007.
"Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns,"
Swiss Finance Institute Research Paper Series
07-26, Swiss Finance Institute.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 24504, London School of Economics and Political Science, LSE Library.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 3775, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series 524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Gregory Connor & Oliver Linton & Matthias Hagmann, 2007. "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers dp599, Financial Markets Group.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Andrew KarolyiEditor, 2020.
"Dissecting Characteristics Nonparametrically,"
Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Andrew KarolyiEditor, 2020. "Dissecting Characteristics Nonparametrically," Review of Finance, European Finance Association, vol. 33(5), pages 2326-2377.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo.
- Yacine AÏT‐SAHALI & Michael W. Brandt, 2001.
"Variable Selection for Portfolio Choice,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, August.
- Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc.
- Ait-Sahalia, Y. & Brandt, M.W., 2001. "Variable Selection for Portfolio Choice," Papers 34, Manitoba - Department of Economics.
- Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series rp34, International Center for Financial Asset Management and Engineering.
- Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2009.
"Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3411-3447, September.
- Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," NBER Working Papers 10996, National Bureau of Economic Research, Inc.
- Brandt, Michael W & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," University of California at Los Angeles, Anderson Graduate School of Management qt4ft420b6, Anderson Graduate School of Management, UCLA.
- Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023.
"High dimensional semiparametric moment restriction models,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Chen, Jia & Gao, Jiti & Li, Degui, 2012.
"Semiparametric trending panel data models with cross-sectional dependence,"
Journal of Econometrics, Elsevier, vol. 171(1), pages 71-85.
- Jia Chen & Jiti Gao & Degui Li, 2010. "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," School of Economics and Public Policy Working Papers 2010-10, University of Adelaide, School of Economics and Public Policy.
- Jia Chen & Jiti Gao & Degui Li, 2011. "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," Monash Econometrics and Business Statistics Working Papers 15/11, Monash University, Department of Econometrics and Business Statistics.
- repec:bla:jfinan:v:43:y:1988:i:3:p:661-76 is not listed on IDEAS
- Connor, Gregory & Linton, Oliver, 2007.
"Semiparametric estimation of a characteristic-based factor model of common stock returns,"
Journal of Empirical Finance, Elsevier, vol. 14(5), pages 694-717, December.
- Connor, Gregory & Linton, Oliver, 2006. "Semiparametric estimation of a characteristic-based factor model of common stock returns," LSE Research Online Documents on Economics 4424, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Oliver Linton, 2006. "Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns," STICERD - Econometrics Paper Series 506, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Kewei Hou & Chen Xue & Lu Zhang, 2015. "Editor's Choice Digesting Anomalies: An Investment Approach," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 650-705.
- Keim, Donald B. & Stambaugh, Robert F., 1986.
"Predicting returns in the stock and bond markets,"
Journal of Financial Economics, Elsevier, vol. 17(2), pages 357-390, December.
- Donald B. Keim & Robert F. Stambaugh, "undated". "Predicting Returns in the Stock and Bond Markets," Rodney L. White Center for Financial Research Working Papers 15-85, Wharton School Rodney L. White Center for Financial Research.
- Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression," Cowles Foundation Discussion Papers 1911, Cowles Foundation for Research in Economics, Yale University.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2012. "Efficient Semiparametric Estimation of the Fama–French Model and Extensions," Econometrica, Econometric Society, vol. 80(2), pages 713-754, March.
- Michael W. Brandt, 1999. "Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach," Journal of Finance, American Finance Association, vol. 54(5), pages 1609-1645, October.
- Chaohua Dong & Jiti Gao & Bin Peng, 2016. "Another Look at Single-Index Models Based on Series Estimation," Monash Econometrics and Business Statistics Working Papers 19/16, Monash University, Department of Econometrics and Business Statistics.
- Ge, S. & Li, S. & Linton, O., 2020. "A Dynamic Network of Arbitrage Characteristics," Cambridge Working Papers in Economics 2060, Faculty of Economics, University of Cambridge.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
- Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023.
"High dimensional semiparametric moment restriction models,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP04/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Mengmeng Ao & Li Yingying & Xinghua Zheng, 2019. "Approaching Mean-Variance Efficiency for Large Portfolios," The Review of Financial Studies, Society for Financial Studies, vol. 32(7), pages 2890-2919.
- Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Laborda, Ricardo & Olmo, Jose, 2017. "Optimal asset allocation for strategic investors," International Journal of Forecasting, Elsevier, vol. 33(4), pages 970-987.
- French, Declan & Wu, Yuliang & Li, Youwei, 2016. "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 80-91.
- Firoozye, Nikan & Tan, Vincent & Zohren, Stefan, 2023.
"Canonical portfolios: Optimal asset and signal combination,"
Journal of Banking & Finance, Elsevier, vol. 154(C).
- Nikan Firoozye & Vincent Tan & Stefan Zohren, 2022. "Canonical Portfolios: Optimal Asset and Signal Combination," Papers 2202.10817, arXiv.org, revised Jul 2023.
- Ge, S. & Li, S. & Linton, O., 2020. "A Dynamic Network of Arbitrage Characteristics," Cambridge Working Papers in Economics 2060, Faculty of Economics, University of Cambridge.
- Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
- Raymond Kan & Xiaolu Wang, 2024. "Optimal Portfolio Choice with Unknown Benchmark Efficiency," Management Science, INFORMS, vol. 70(9), pages 6117-6138, September.
- Botshekan, Mahmoud & Lucas, André, 2017.
"Long-Term versus Short-Term Contingencies in Asset Allocation,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2277-2303, October.
- Mahmoud Botshekan & Andre Lucas, 2012. "Long-Term versus Short-Term Contingencies in Asset Allocation," Tinbergen Institute Discussion Papers 12-053/2/DSF34, Tinbergen Institute.
- Roussanov, Nikolai, 2014.
"Composition of wealth, conditioning information, and the cross-section of stock returns,"
Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
- Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
- repec:wyi:journl:002108 is not listed on IDEAS
- Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2020.
"Shrinking the cross-section,"
Journal of Financial Economics, Elsevier, vol. 135(2), pages 271-292.
- Nagel, Stefan & Santosh, Shrihari & Kozak, Serhiy, 2017. "Shrinking the Cross Section," CEPR Discussion Papers 12463, C.E.P.R. Discussion Papers.
- Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2017. "Shrinking the Cross Section," NBER Working Papers 24070, National Bureau of Economic Research, Inc.
- Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
- Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023.
"High dimensional semiparametric moment restriction models,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP04/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Campbell, John Y, 1996.
"Understanding Risk and Return,"
Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 298-345, April.
- John Y. Campbell, 1993. "Understanding Risk and Return," NBER Working Papers 4554, National Bureau of Economic Research, Inc.
- Campbell, John, 1996. "Understanding Risk and Return," Scholarly Articles 3153293, Harvard University Department of Economics.
- John Y. Campbell, 1995. "Understanding Risk and Return," Harvard Institute of Economic Research Working Papers 1711, Harvard - Institute of Economic Research.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019.
"Estimation of large dimensional conditional factor models in finance,"
Working Papers
unige:125031, University of Geneva, Geneva School of Economics and Management.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- Kirby, Chris, 1998. "The Restrictions on Predictability Implied by Rational Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 343-382.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Laborda, Juan & Laborda, Ricardo & Olmo, Jose, 2014. "Optimal currency carry trade strategies," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 52-66.
- Leonid Kogan & Raman Uppal, "undated".
"Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies,"
Rodney L. White Center for Financial Research Working Papers
13-00, Wharton School Rodney L. White Center for Financial Research.
- Leonid Kogan & Raman Uppal, 2001. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," NBER Working Papers 8609, National Bureau of Economic Research, Inc.
- Uppal, Raman & Kogan, Leonid, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers 3306, C.E.P.R. Discussion Papers.
- Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
More about this item
Keywords
Portfolio management; Single index; GMM;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2020-12-07 (Operations Research)
- NEP-UPT-2020-12-07 (Utility Models and Prospect Theory)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cam:camdae:20103. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jake Dyer (email available below). General contact details of provider: https://www.econ.cam.ac.uk/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.