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Variable Selection for Portfolio Choice

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  • Ait-Sahalia, Y.
  • Brandt, M.W.

Abstract

We study asset allocation when the conditional moments of returns are partly predictable.

Suggested Citation

  • Ait-Sahalia, Y. & Brandt, M.W., 2001. "Variable Selection for Portfolio Choice," Papers 34, Manitoba - Department of Economics.
    • Handle: RePEc:fth:manito:34
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    More about this item

    Keywords

    FINANCIAL MARKET ; ECONOMETRICS ; ECONOMIC MODELS;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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