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Variable Selection for Portfolio Choice

Listed author(s):
  • Ait-Sahalia, Y.
  • Brandt, M.W.

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

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Paper provided by Manitoba - Department of Economics in its series Papers with number 34.

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Length: 54 pages
Date of creation: 2001
Handle: RePEc:fth:manito:34
Contact details of provider: Postal:
UNIVERSITY OF MANITOBA, DEPARTMENT OF ECONOMICS, WINNIPEG, MANITOBA, CANADA R3T 2N2.

Phone: (204) 474-6239
Fax: (204) 474-7681
Web page: http://umanitoba.ca/faculties/arts/departments/economics/

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  9. Hodrick, Robert J, 1992. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-386.
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  26. Kandel, Shmuel & Stambaugh, Robert F, 1996. " On the Predictability of Stock Returns: An Asset-Allocation Perspective," Journal of Finance, American Finance Association, vol. 51(2), pages 385-424, June.
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  28. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  29. Grossman, Sanford J & Zhou, Zhongquan, 1996. " Equilibrium Analysis of Portfolio Insurance," Journal of Finance, American Finance Association, vol. 51(4), pages 1379-1403, September.
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