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On the structural estimation of an optimal portfolio rule

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  • Castañeda, Pablo
  • Devoto, Benjamín

Abstract

We adopt a structural approach to estimate the parameters of the optimal asset allocation rule dictated by a standard dynamic portfolio choice problem. In doing so, we propose two novel approaches to estimates the preference/incentive parameters of the model.

Suggested Citation

  • Castañeda, Pablo & Devoto, Benjamín, 2016. "On the structural estimation of an optimal portfolio rule," Finance Research Letters, Elsevier, vol. 16(C), pages 290-300.
  • Handle: RePEc:eee:finlet:v:16:y:2016:i:c:p:290-300
    DOI: 10.1016/j.frl.2015.12.012
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    References listed on IDEAS

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    More about this item

    Keywords

    Benchmark portfolio; Portfolio choice; Relative performance concerns;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions

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