Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
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- Victor DeMiguel & Francisco J. Nogales & Raman Uppal, 2014. "Stock Return Serial Dependence and Out-of-Sample Portfolio Performance," Review of Financial Studies, Society for Financial Studies, vol. 27(4), pages 1031-1073.
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More about this item
Keywordsout-of-sample performance; portfolio choice; Serial dependence; vector autoregression;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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