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Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach
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Cited by:
- Pesaran, M. Hashem & Timmermann, Allan, 2002.
"Market timing and return prediction under model instability,"
Journal of Empirical Finance, Elsevier, vol. 9(5), pages 495-510, December.
- Allan Timmermann & M. Hashem Pesaran, 2002. "Market Timing and Return Prediction under Model Instability," FMG Discussion Papers dp412, Financial Markets Group.
- Pesaran, M. Hashem & Timmermann, Allan, 2002. "Market timing and return prediction under model instability," LSE Research Online Documents on Economics 24932, London School of Economics and Political Science, LSE Library.
- Kuznitz, Arik & Kandel, Shmuel & Fos, Vyacheslav, 2008.
"A portfolio choice model with utility from anticipation of future consumption and stock market mean reversion,"
European Economic Review, Elsevier, vol. 52(8), pages 1338-1352, November.
- Kandel, Shmuel & Kuznitz, Arik, 2004. "A Portfolio Choice Model with Utility from Anticipation of Future Consumption and Stock Markets' Mean Reversion," CEPR Discussion Papers 4701, C.E.P.R. Discussion Papers.
- Ferreira, Miguel A. & Santa-Clara, Pedro, 2011.
"Forecasting stock market returns: The sum of the parts is more than the whole,"
Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
- Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
- repec:uts:finphd:39 is not listed on IDEAS
- LeBaron, Blake, 2001.
"Evolution And Time Horizons In An Agent-Based Stock Market,"
Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 225-254, April.
- Blake LeBaron, 1999. "Evolution and Time Horizons in an Agent-Based Stock Market," Computing in Economics and Finance 1999 1342, Society for Computational Economics.
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009.
"Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381, September.
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," CeRP Working Papers 82, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers 2009-001, Federal Reserve Bank of St. Louis.
- Guidolin, Massimo & Timmermann, Allan, 2007.
"Asset allocation under multivariate regime switching,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
- Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
- 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 AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series rp34, International Center for Financial Asset Management and Engineering.
- 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.
- Laborda, Ricardo & Laborda, Juan, 2017. "Can tree-structured classifiers add value to the investor?," Finance Research Letters, Elsevier, vol. 22(C), pages 211-226.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- David Daewhan Cho, 2004. "Uncertainty in Second Moments: Implications for Portfolio Allocation," Econometric Society 2004 Far Eastern Meetings 431, Econometric Society.
- 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.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
- Kung, James J., 2009. "A two-asset stochastic model for long-term portfolio selection," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3089-3098.
- Guidolin, Massimo & Ono, Sadayuki, 2006.
"Are the dynamic linkages between the macroeconomy and asset prices time-varying?,"
Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
- Massimo Guidolin & Sadayuki Ono, 2005. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Working Papers 2005-056, Federal Reserve Bank of St. Louis.
- Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
- Ricardo Laborda & Jose Olmo, 2020. "Optimal portfolio choices using financial leverage," Bulletin of Economic Research, Wiley Blackwell, vol. 72(2), pages 146-166, April.
- Chen, Jia & Li, Degui & Linton, Oliver, 2019.
"A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 155-176.
- Chen, J. & Li, D. & Linton, O., 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Cambridge Working Papers in Economics 1876, Faculty of Economics, University of Cambridge.
- Jia Chen & Degui Li & Oliver Linton, 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Discussion Papers 18/14, Department of Economics, University of York.
- Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018.
"Portfolio performance of linear SDF models: an out-of-sample assessment,"
Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," Working Papers 627, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," BAFFI CAREFIN Working Papers 1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Lynch, Anthony W. & Wachter, Jessica A., 2013.
"Using Samples of Unequal Length in Generalized Method of Moments Estimation,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(1), pages 277-307, February.
- Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc.
- John Y. Campbell & Yeung Lewis Chanb & M. Viceira, 2013.
"A multivariate model of strategic asset allocation,"
World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 39, pages 809-848,
World Scientific Publishing Co. Pte. Ltd..
- Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003. "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80, January.
- Campbell, John Y & Viceira, Luis & Chan, Yeung Lewis, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers.
- John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc.
- Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003. "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles 3163263, Harvard University Department of Economics.
- Laborda, Juan & Laborda, Ricardo & Olmo, Jose, 2014. "Optimal currency carry trade strategies," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 52-66.
- Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "A Dynamic Mean-Variance Analysis for Log Returns," Management Science, INFORMS, vol. 67(2), pages 1093-1108, February.
- Kentaro Kikuchi & Koji Kusuda, 2024. "Age-dependent robust strategic asset allocation with inflation–deflation hedging demand," Mathematics and Financial Economics, Springer, volume 18, number 4, February.
- Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
- LuisM. Viceira & John Y. Campbell, 2001.
"Who Should Buy Long-Term Bonds?,"
American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March.
- John Y. Campbell & Luis M. Viceira, 1998. "Who Should Buy Long-Term Bonds?," NBER Working Papers 6801, National Bureau of Economic Research, Inc.
- Viceira, Luis & Campbell, John, 2001. "Who Should Buy Long-Term Bonds?," Scholarly Articles 3128709, Harvard University Department of Economics.
- John Y. Campbell & Luis M. Viceira, 2000. "Who Should Buy Long-Term Bonds?," Harvard Institute of Economic Research Working Papers 1895, Harvard - Institute of Economic Research.
- John Y. CAMPBELL & Luis VICEIRA, 1998. "Who Should Buy Long-Term Bonds?," FAME Research Paper Series rp5, International Center for Financial Asset Management and Engineering.
- Toshiki Honda & Shoji Kamimura, 2011. "On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 151-166, May.
- Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
- Klos, Alexander & Langer, Thomas & Weber, Martin, 2002.
"Über kurz oder lang - Welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?,"
Sonderforschungsbereich 504 Publications
02-49, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Klos, Alexander & Langer, Thomas & Weber, Martin, 2002. "Über kurz oder lang : welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?," Papers 02-49, Sonderforschungsbreich 504.
- Hans Dewachter & Marco Lyrio, 2005.
"The economic value of technical trading rules: a nonparametric utility-based approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 41-62.
- Hans Dewachter & Marco Lyrio, 2002. "The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach," International Economics Working Papers Series ces0203, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Wenyuan Wang & Kaixin Yan & Xiang Yu, 2024. "Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors," Papers 2401.14672, arXiv.org.
- John Y. Campbell & Luis M. Viceira, 1999.
"Consumption and Portfolio Decisions when Expected Returns are Time Varying,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(2), pages 433-495.
- John Y. Campbell & Luis M. Viceira, 1996. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers 5857, National Bureau of Economic Research, Inc.
- Campbell, John & Viceira, Luis, 1999. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles 3163266, Harvard University Department of Economics.
- John Y. Campbell & Luis M. Viceira, 1998. "Consumption and Portfolio Decisions When Expected Returns Are Time Varying," Harvard Institute of Economic Research Working Papers 1835, Harvard - Institute of Economic Research.
- Wenyuan Wang & Kaixin Yan & Xiang Yu, 2024. "Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints," Papers 2411.13579, arXiv.org.
- Massimo Guidolin & Allan Timmermann, 2008.
"International asset allocation under regime switching, skew, and kurtosis preferences,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
- Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis.
- Jessica A. Wachter, 2010.
"Asset Allocation,"
Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
- Jessica Wachter, 2010. "Asset Allocation," NBER Working Papers 16255, National Bureau of Economic Research, Inc.
- Letendre, Marc-Andre & Smith, Gregor W., 2001.
"Precautionary saving and portfolio allocation: DP by GMM,"
Journal of Monetary Economics, Elsevier, vol. 48(1), pages 197-215, August.
- Marc-Andre Letendre & Gregor W. Smith, 2000. "Precautionary Saving And Portfolio Allocation: Dp By Gmm," Working Paper 1247, Economics Department, Queen's University.
- Fuwei Jiang & Wei Ning & Hao Xue, 2023. "Factor Timing with Investor Sentiment," Annals of Economics and Finance, Society for AEF, vol. 24(2), pages 401-437, November.
- James Kung, 2008. "Dynamic strategies for fixed-income investment," Applied Economics, Taylor & Francis Journals, vol. 40(10), pages 1341-1354.
- Ang, Andrew & Kristensen, Dennis, 2012.
"Testing conditional factor models,"
Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
- Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, Department of Economics and Business Economics, Aarhus University.
- Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
- Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo, 2000. "The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach," University of California at Santa Barbara, Economics Working Paper Series qt9ph6b5gp, Department of Economics, UC Santa Barbara.
- Jakub W. Jurek & Luis M. Viceira, 2011.
"Optimal Value and Growth Tilts in Long-Horizon Portfolios,"
Review of Finance, European Finance Association, vol. 15(1), pages 29-74.
- Jakub W. Jurek & Luis M. Viceira, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," NBER Working Papers 12017, National Bureau of Economic Research, Inc.
- Viceira, Luis & Jurek, Jakub W, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers 5773, C.E.P.R. Discussion Papers.
- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005.
"A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability,"
The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Andrew J. Patton, 2004.
"On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168.
- Patton, Andrew J., 2002. "On the out-of-sample importance of skewness and asymetric dependence for asset allocation," LSE Research Online Documents on Economics 24951, London School of Economics and Political Science, LSE Library.
- Gehrig, Thomas & Sögner, Leopold & Westerkamp, Arne, 2018. "Making Parametric Portfolio Policies Work," CEPR Discussion Papers 13193, C.E.P.R. Discussion Papers.
- Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
- Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
- Connor, G. & Li, S. & Linton, O., 2020. "A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection," Cambridge Working Papers in Economics 20103, Faculty of Economics, University of Cambridge.
- Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center.
- 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.
- Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005.
"Why stocks may disappoint,"
Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
- Andrew Ang & Geert Bekaert & Jun Liu, 2000. "Why Stocks May Disappoint," NBER Working Papers 7783, National Bureau of Economic Research, Inc.
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010.
"1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus,"
Carlo Alberto Notebooks
190, Collegio Carlo Alberto.
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
- Marco Aiolfi & Carlo Ambrogio Favero, "undated".
"Model Uncertainty, Thick Modelling and the predictability of Stock Returns,"
Working Papers
221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Favero, Carlo A. & Aiolfi, Marco, 2003. "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers 3997, C.E.P.R. Discussion Papers.
- Inkmann, Joachim & Blake, David, 2004. "Liability valuation and optimal asset allocation," LSE Research Online Documents on Economics 24754, London School of Economics and Political Science, LSE Library.
- Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
- Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
- David Daewhan Cho, 2004. "Uncertainty in Second Moments: Implications for Portfolio Allocation," Econometric Society 2004 Far Eastern Meetings 433, Econometric Society.
- 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.
- Joenväärä, Juha & Kauppila, Mikko & Kahra, Hannu, 2021. "Hedge fund portfolio selection with fund characteristics," Journal of Banking & Finance, Elsevier, vol. 132(C).
- Martin B. Haugh & Leonid Kogan & Jiang Wang, 2006.
"Evaluating Portfolio Policies: A Duality Approach,"
Operations Research, INFORMS, vol. 54(3), pages 405-418, June.
- Martin B. Haugh & Leonid Kogan & Jiang Wang, 2003. "Evaluating Portfolio Policies: A Duality Approach," NBER Working Papers 9861, National Bureau of Economic Research, Inc.
- Kogan, Leonid & Haugh, Martin & Wang, Jiang, 2003. "Evaluating Portfolio Policies: A Duality Approach," Working papers 4329-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016. "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 110-135.
- Kourtis, Apostolos & Dotsis, George & Markellos, Raphael N., 2012. "Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2522-2531.
- Murray Carlson & David A. Chapman & Ron Kaniel & Hong Yan, 2015.
"Asset Return Predictability in a Heterogeneous Agent Equilibrium Model,"
Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-45.
- Kaniel, Ron & Yan, Hong & Carlson, Murray & Chapman, David A., 2015. "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model," CEPR Discussion Papers 10328, C.E.P.R. Discussion Papers.
- Suleyman Basak & Georgy Chabakauri, 2010.
"Dynamic Mean-Variance Asset Allocation,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
- Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers.
- Chen, Jia & Li, Degui & Linton, Oliver & Lu, Zudi, 2016.
"Semiparametric dynamic portfolio choice with multiple conditioning variables,"
Journal of Econometrics, Elsevier, vol. 194(2), pages 309-318.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables," Discussion Papers 15/01, Department of Economics, University of York.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers CWP07/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers 07/15, Institute for Fiscal Studies.
- Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
- Horneff, Wolfram J. & Maurer, Raimond H. & Stamos, Michael Z., 2008. "Life-cycle asset allocation with annuity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3590-3612, November.
- 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.
- John H. Cochrane, 1999.
"Portfolio advice of a multifactor world,"
Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 59-78.
- John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," CRSP working papers 491, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Rapach, David E. & Wohar, Mark E., 2009. "Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 427-453, April.
- Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
- Andrew Chen & Frank Fabozzi & Dashan Huang, 2012. "Portfolio revision under mean-variance and mean-CVaR with transaction costs," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 509-526, November.
- Andreas Graflund & Birger Nilsson, 2003.
"Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon,"
European Financial Management, European Financial Management Association, vol. 9(2), pages 179-200, June.
- Graflund, Andreas & Nilsson, Birger, 2002. "Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon," Working Papers 2002:8, Lund University, Department of Economics.
- Yuichi Takano & Jun-ya Gotoh, 2011. "Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 191-211, May.
- Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
- Weidong Tian & Murray Carlson & David A. Chapman & Ron Kaniel & Hong Yan, 2017. "Specification Error, Estimation Risk, and Conditional Portfolio Rules," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 263-288, June.
- Guoshi Tong, 2017. "Market Timing under Limited Information: An Empirical Investigation in US Treasury Market," Annals of Economics and Finance, Society for AEF, vol. 18(2), pages 291-322, November.
- Luca Benzoni & Pierre Collin‐Dufresne & Robert S. Goldstein, 2007.
"Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated,"
Journal of Finance, American Finance Association, vol. 62(5), pages 2123-2167, October.
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series WP-07-11, Federal Reserve Bank of Chicago.
- George Chacko & Luis M. Viceira, 2005.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1369-1402.
- George Chacko & Luis M. Viceira, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," NBER Working Papers 7377, National Bureau of Economic Research, Inc.
- Viceira, Luis & Chacko, George, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers.
- George CHACKO & Luis M. VICEIRA, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," FAME Research Paper Series rp11, International Center for Financial Asset Management and Engineering.
- Marie Brière & Ombretta Signori, 2011.
"Inflation hedging portfolios in different regimes,"
BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163,
Bank for International Settlements.
- Marie Briere & Ombretta Signori, 2009. "Inflation-hedging portfolios in Different Regimes," Working Papers CEB 09-047.RS, ULB -- Universite Libre de Bruxelles.
- repec:wyi:journl:002108 is not listed on IDEAS
- Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchel & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," Working Papers wp177, University of Michigan, Michigan Retirement Research Center.
- Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
- Tu, Jun & Zhou, Guofu, 2010. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 959-986, August.
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