Return Predictability, Model Uncertainty, and Robust Investment
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KeywordsReturn predictability; Model uncertainty; Model confidence set; Portfolio choice; Loss function;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
- NEP-ECM-2011-12-19 (Econometrics)
- NEP-FOR-2011-12-19 (Forecasting)
- NEP-UPT-2011-12-19 (Utility Models & Prospect Theory)
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