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Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation
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- Kumar, Praveen, 2006. "Learning about investment risk: The effects of structural uncertainty on dynamic investment and consumption," Journal of Economic Behavior & Organization, Elsevier, vol. 60(2), pages 205-229, June.
- Li, Yongwu & Qiao, Han & Wang, Shouyang & Zhang, Ling, 2015. "Time-consistent investment strategy under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 187-197.
- Markus Leippold & Hanlin Yang, 2023. "Mixed‐frequency predictive regressions with parameter learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1955-1972, December.
- Vincent Glode & Burton Hollifield & Marcin Kacperczyk & Shimon Kogan, 2016.
"Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry,"
World Scientific Book Chapters, in: Itzhak Venezia (ed.), Behavioral Finance WHERE DO INVESTORS' BIASES COME FROM?, chapter 3, pages 67-113,
World Scientific Publishing Co. Pte. Ltd..
- Vincent Glode & Burton Hollifield & Marcin Kacperczyk & Shimon Kogan, 2009. "Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry," NBER Working Papers 15038, National Bureau of Economic Research, Inc.
- Lundtofte, Frederik, 2008.
"Expected life-time utility and hedging demands in a partially observable economy,"
European Economic Review, Elsevier, vol. 52(6), pages 1072-1096, August.
- Lundtofte, Frederik, 2005. "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Working Papers 2005:17, Lund University, Department of Economics.
- Frederik Lundtofte, 2006. "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Swiss Finance Institute Research Paper Series 06-23, Swiss Finance Institute.
- Du Du & Heng-fu Zou, 2008. "Intertemporal Portfolio Choice under Multiple Types of Event Risks," CEMA Working Papers 332, China Economics and Management Academy, Central University of Finance and Economics.
- Hening Liu, 2013. "Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets," Annals of Economics and Finance, Society for AEF, vol. 14(1), pages 21-52, May.
- Wu, Feng & Guan, Zhengfei & Yu, Fan & Myers, Robert J., 2013. "The spillover effects of biofuel policy on participation in the conservation reserve program," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1755-1770.
- Abhyankar, Abhay & Sarno, Lucio & Valente, Giorgio, 2005.
"Exchange rates and fundamentals: evidence on the economic value of predictability,"
Journal of International Economics, Elsevier, vol. 66(2), pages 325-348, July.
- Abhyankar, Abhay & Sarno, Lucio & Valente, Giorgio, 2004. "Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability," CEPR Discussion Papers 4365, C.E.P.R. Discussion Papers.
- GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Philipp K. Illeditsch & Jayant V. Ganguli & Scott Condie, 2021.
"Information Inertia,"
Journal of Finance, American Finance Association, vol. 76(1), pages 443-479, February.
- Ganguli, J & Condie, S & Illeditsch, PK, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
- Illeditsch, PK & Ganguli, J & Condie, S, 2015. "Information Inertia," Economics Discussion Papers 15615, University of Essex, Department of Economics.
- Shibata, Takashi, 2008. "The impacts of uncertainties in a real options model under incomplete information," European Journal of Operational Research, Elsevier, vol. 187(3), pages 1368-1379, June.
- Xiang Yu, 2011. "An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations," Papers 1112.2939, arXiv.org, revised Aug 2014.
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- Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management qt9178v9kq, Anderson Graduate School of Management, UCLA.
- Kraft, Holger & Munk, Claus & Weiss, Farina, 2019. "Predictors and portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 1-27.
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- Ferstl, Robert & Weissensteiner, Alex, 2011.
"Asset-liability management under time-varying investment opportunities,"
Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
- Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany.
- Michele Longo & Alessandra Mainini, 2017. "Welfare effects of information and rationality in portfolio decisions under parameter uncertainty," Papers 1709.04387, arXiv.org.
- Matkovskyy, Roman & Jalan, Akanksha & Dowling, Michael & Bouraoui, Taoufik, 2021.
"From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks,"
Finance Research Letters, Elsevier, vol. 38(C).
- Roman Matkovskyy & Akanksha Jalan & Michael Dowling & Taoufik Bouraoui, 2021. "From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks," Post-Print hal-04273124, HAL.
- Abdelali Gabih & Hakam Kondakji & Ralf Wunderlich, 2024. "Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift," Annals of Operations Research, Springer, vol. 341(2), pages 897-936, October.
- Wang, Pei & Shen, Yang & Zhang, Ling & Kang, Yuxin, 2021. "Equilibrium investment strategy for a DC pension plan with learning about stock return predictability," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 384-407.
- Yaoting Lei & Ya Li & Jing Xu, 2020. "Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes," Management Science, INFORMS, vol. 66(2), pages 823-843, February.
- João M. Sousa & Ricardo M. Sousa, 2019.
"Asset Returns Under Model Uncertainty: Evidence from the Euro Area, the US and the UK,"
Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 139-176, June.
- Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
- Sousa, João & Sousa, Ricardo M., 2013. "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series 1575, European Central Bank.
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2017.
"Volatility of aggregate volatility and hedge fund returns,"
Journal of Financial Economics, Elsevier, vol. 125(3), pages 491-510.
- Vikas Agarwal & Eser Arisoy & Narayan y Naik, 2015. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01412976, HAL.
- Vikas Agarwal & Eser Arisoy & Narayan Y. Naik, 2017. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01634155, HAL.
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
- Graham, John R. & Harvey, Campbell R. & Rajgopal, Shiva, 2005.
"The economic implications of corporate financial reporting,"
Journal of Accounting and Economics, Elsevier, vol. 40(1-3), pages 3-73, December.
- John R. Graham & Campbell R. Harvey & Shiva Rajgopal, 2004. "The Economic Implications of Corporate Financial Reporting," NBER Working Papers 10550, 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.
- Larry G. Epstein & Martin Schneider, 2007.
"Learning Under Ambiguity,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1275-1303.
- Larry Epstein & Martin Schneider, 2002. "Learning Under Ambiguity," RCER Working Papers 497, University of Rochester - Center for Economic Research (RCER), revised Mar 2005.
- Larry Epstein & Martin Schneider, 2006. "Learning Under Ambiguity," RCER Working Papers 527, University of Rochester - Center for Economic Research (RCER).
- 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.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2014.
"Dynamic Asset Allocation with Ambiguous Return Predictability,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
- Hui Chen & Nengjiu Ju & Jianjun Miao, "undated". "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series wp2009-015, Boston University - Department of Economics.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2008. "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-179, Boston University - Department of Economics, revised Feb 2009.
- Juhani T. Linnainmaa, 2011. "Why Do (Some) Households Trade So Much?," The Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1630-1666.
- Wang, Honglin & Yu, Fan & Reardon, Thomas & Huang, Jikun & Rozelle, Scott, 2013.
"Social learning and parameter uncertainty in irreversible investments: Evidence from greenhouse adoption in northern China,"
China Economic Review, Elsevier, vol. 27(C), pages 104-120.
- Wang, Honglin & Reardon, Thomas, 2008. "Social Learning and Parameter Uncertainty in Irreversible Investment----Evidence from Greenhouse Adoption in Northern China," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6310, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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- 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.
- Ivo Welch & Amit Goyal, 2008.
"A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
- Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II," Swiss Finance Institute Research Paper Series 21-85, Swiss Finance Institute.
- Ji Jung Im & Hyun Soo Lim & Sung sub Choi & Denis Nikitin, 2007. "Portfolio Selection under Parameter Uncertainty using a Predictive Distribution," Annals of Economics and Finance, Society for AEF, vol. 8(2), pages 305-312, November.
- Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
- Lubos Pastor & Pietro Veronesi, 2009.
"Learning in Financial Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
- Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," NBER Working Papers 14646, National Bureau of Economic Research, Inc.
- Veronesi, Pietro & Pástor, Luboš, 2009. "Learning in Financial Markets," CEPR Discussion Papers 7127, C.E.P.R. Discussion Papers.
- Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
- Parra-Alvarez, Juan Carlos, 2018.
"A Comparison Of Numerical Methods For The Solution Of Continuous-Time Dsge Models,"
Macroeconomic Dynamics, Cambridge University Press, vol. 22(6), pages 1555-1583, September.
- Juan Carlos Parra-Alvarez, 2013. "A comparison of numerical methods for the solution of continuous-time DSGE models," CREATES Research Papers 2013-39, Department of Economics and Business Economics, Aarhus University.
- 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.
- Ando, Tomohiro, 2009. "Bayesian portfolio selection using a multifactor model," International Journal of Forecasting, Elsevier, vol. 25(3), pages 550-566, July.
- Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
- Rumi Masih & A. Mansur M. Masih & Kilian Mie, 2010. "Model uncertainty and asset return predictability: an application of Bayesian model averaging," Applied Economics, Taylor & Francis Journals, vol. 42(15), pages 1963-1972.
- Zhang, Ling & Zhang, Hao & Yao, Haixiang, 2018. "Optimal investment management for a defined contribution pension fund under imperfect information," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 210-224.
- Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
- Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
- Chen, Xingjiang & Ruan, Xinfeng & Zhang, Wenjun, 2021. "Dynamic portfolio choice and information trading with recursive utility," Economic Modelling, Elsevier, vol. 98(C), pages 154-167.
- 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.
- 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.
- Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2022. "Portfolio choice with return predictability and small trading frictions," Economic Modelling, Elsevier, vol. 111(C).
- Amit Goyal & Ivo Welch, 2003.
"Predicting the Equity Premium with Dividend Ratios,"
Management Science, INFORMS, vol. 49(5), pages 639-654, May.
- Amit Goyal & Ivo Welch, 1999. "Predicting the Equity Premium with Dividend Ratios," Yale School of Management Working Papers amz2437, Yale School of Management, revised 01 Nov 2002.
- Amit Goyal & Ivo Welch, 2002. "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers 8788, National Bureau of Economic Research, Inc.
- Huang, Jia & Chen, Zheng, 2021. "Optimal risk asset allocation of a loss-averse bank with partial information under inflation risk," Finance Research Letters, Elsevier, vol. 38(C).
- Ricardo M. Sousa, 2011.
"Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S,"
Working Papers
w201119, Banco de Portugal, Economics and Research Department.
- João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers 21/2011, NIPE - Universidade do Minho.
- Amit Goyal & Ivo Welch, 2003.
"Predicting the Equity Premium with Dividend Ratios,"
Management Science, INFORMS, vol. 49(5), pages 639-654, May.
- Amit Goyal & Ivo Welch, 1999. "Predicting the Equity Premium with Dividend Ratios," Yale School of Management Working Papers amz2437, Yale School of Management, revised 01 Nov 2002.
- Amit Goyal & Ivo Welch, 2002. "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers 8788, National Bureau of Economic Research, Inc.
- Breugem, Matthijs & Marfè, Roberto, 2020. "Long-run versus short-run news and the term structure of equity," Finance Research Letters, Elsevier, vol. 36(C).
- Dai, R., 2010. "Essays on pension finance and dynamic asset allocation," Other publications TiSEM 72fdbf1a-5a77-410d-bb4e-9, Tilburg University, School of Economics and Management.
- Kavita Sirichand & Stephen G. Hall, 2016.
"Decision‐Based Forecast Evaluation of UK Interest Rate Predictability,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(2), pages 93-112, March.
- Stephen Hall & Kavita Sirichand, 2010. "Decision-Based Forecast Evaluation of UK Interest Rate Predictability," Discussion Papers in Economics 10/09, Division of Economics, School of Business, University of Leicester.
- Constantin Mellios, 2007. "Interest rate options valuation under incomplete information," Annals of Operations Research, Springer, vol. 151(1), pages 99-117, April.
- Martin B. Haugh & Leonid Kogan & Jiang Wang, 2006.
"Evaluating Portfolio Policies: A Duality Approach,"
Operations Research, INFORMS, vol. 54(3), pages 405-418, June.
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"A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry,"
International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(4), pages 30-44, October.
- Jarraya, Bilel & Bouri, Abdelfettah, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," MPRA Paper 53534, University Library of Munich, Germany, revised 2013.
- Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
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- 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.
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- Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008. "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers 37, Brandeis University, Department of Economics and International Business School.
- Virbickaitė, Audronė & Frey, Christoph & Macedo, Demian N., 2020. "Bayesian sequential stock return prediction through copulas," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
- Haijun Wang & L. Steven Hou, 2015. "Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 393-416, November.
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- Frederik Lundtofte, 2009.
"Can An 'Estimation Factor' Help Explain Cross-Sectional Returns?,"
Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 36(5-6), pages 705-724.
- Lundtofte, Frederik, 2005. "Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?," Working Papers 2005:18, Lund University, Department of Economics.
- Jiawen Xu & Pierre Perron, 2015.
"Forecasting in the presence of in and out of sample breaks,"
Boston University - Department of Economics - Working Papers Series
wp2015-012, Boston University - Department of Economics.
- Jiawen Xu & Pierre Perron, 2017. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series WP2018-014, Boston University - Department of Economics, revised Nov 2018.
- Michael Johannes & Arthur Korteweg & Nicholas Polson, 2014. "Sequential Learning, Predictability, and Optimal Portfolio Returns," Journal of Finance, American Finance Association, vol. 69(2), pages 611-644, April.
- 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.
- Sebastian Jaimungal & Xiaofei Shi, 2024. "The Price of Information," Papers 2402.11864, arXiv.org, revised Mar 2024.
- 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.
- Wachter, Jessica A. & Warusawitharana, Missaka, 2009.
"Predictable returns and asset allocation: Should a skeptical investor time the market?,"
Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
- Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
- Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
- Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021.
"The value of knowing the market price of risk,"
Annals of Operations Research, Springer, vol. 299(1), pages 101-131, April.
- Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2019. "The value of knowing the market price of risk," Papers 1909.07837, arXiv.org, revised Sep 2019.
- Nazliben, K. Korhan & Rodríguez, Juan Carlos, 2018. "Permanent shocks, signal extraction, and portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 47-68.
- Markus Leippold & Fabio Trojani & Paolo Vanini, 2008.
"Learning and Asset Prices Under Ambiguous Information,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
- Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen.
- 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.
- Engsted, Tom & Pedersen, Thomas Q., 2012.
"Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model,"
Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
- Tom Engsted & Thomas Q. Pedersen, 2008. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," CREATES Research Papers 2008-27, Department of Economics and Business Economics, Aarhus University.
- Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013. "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1397-1411.
- Frederik Lundtofte, 2013.
"The quality of public information and the term structure of interest rates,"
Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 715-740, May.
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