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Citations for "Variable Selection for Portfolio Choice"

by Yacine Aït-Sahalia

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  1. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO.
  2. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc.
  3. Böhringer, Christoph & Löschel, Andreas, 2002. "Climate policy induced investments in developing countries: the implications of investment risks," ZEW Discussion Papers 02-68, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  4. Liping Liu & Catherine Shenoy & Prakash P. Shenoy, 2012. "A Linear Belief Function Approach to Portfolio Evaluation," Papers 1212.2473, arXiv.org.
  5. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003. "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, vol. 113(486), pages C1-C25, March.
  6. Rosenblatt-Wisch, Rina, 2008. "Loss aversion in aggregate macroeconomic time series," European Economic Review, Elsevier, vol. 52(7), pages 1140-1159, October.
  7. Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
  8. Li Xie & Wing Thye Woo & Zhichao Zhang & Zhuang Zhang, 2015. "A Multiple-Goal Investment Strategy for Sovereign Wealth Funds: An Application to China," Asian Economic Papers, MIT Press, vol. 14(1), pages 78-97, March.
  9. Gonzalo, Jesús & Olmo, José, 2016. "Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion," UC3M Working papers. Economics 23599, Universidad Carlos III de Madrid. Departamento de Economía.
  10. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  11. Wei-ling Chen & Leh-chyan So, 2014. "Validation of the Merton Distance to the Default Model under Ambiguity," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(1), pages 13, March.
  12. Thomas J. Flavin & Michael R. Wickens, 1998. ": A Risk Management Approach to Optimal Asset Allocation," Economics, Finance and Accounting Department Working Paper Series n851298, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  13. Flavin, T. J. & Wickens, M. R., 2003. "Macroeconomic influences on optimal asset allocation," Review of Financial Economics, Elsevier, vol. 12(2), pages 207-231.
  14. Andrew J. Patton, 2002. "On the out-of-sample importance of skewness and asymetric dependence for asset allocation," LSE Research Online Documents on Economics 24951, London School of Economics and Political Science, LSE Library.
  15. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
  16. Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015. "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
  17. Asai, M. & Caporin, M., 2009. "Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers EI 2009-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  18. Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, vol. 92(3), pages 519-544, June.
  19. Dierkes, Maik & Erner, Carsten & Zeisberger, Stefan, 2010. "Investment horizon and the attractiveness of investment strategies: A behavioral approach," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1032-1046, May.
  20. George CHACKO & Luis M. VICEIRA, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," FAME Research Paper Series rp11, International Center for Financial Asset Management and Engineering.
  21. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
  22. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016. "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 162-176.
  23. Massimo Guidolin & Stuart Hyde, 2011. "Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective," Working Papers 414, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  24. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
  25. Dijk, Oege & Holmen, Martin & Kirchler, Michael, 2014. "Rank matters–The impact of social competition on portfolio choice," European Economic Review, Elsevier, vol. 66(C), pages 97-110.
  26. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  27. Rapach, David E. & Wohar, Mark E., 2009. "Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 427-453, April.
  28. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
  29. Suleyman Basak & Georgy Chabakauri, 2010. "Dynamic Mean-Variance Asset Allocation," Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
  30. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
  31. Hans Dewachter & Marco Lyrio, 2005. "The economic value of technical trading rules: a nonparametric utility-based approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 41-62.
  32. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect," GEMF Working Papers 2016-13, GEMF - Faculdade de Economia, Universidade de Coimbra.
  33. Santos, André A.P. & Moura, Guilherme V., 2014. "Dynamic factor multivariate GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 606-617.
  34. Gianni Amisano & Roberto Savona, 2007. "Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk," Working Papers 0706, University of Brescia, Department of Economics.
  35. Bjørn Eraker, 2013. "The performance of model based option trading strategies," Review of Derivatives Research, Springer, vol. 16(1), pages 1-23, April.
  36. Laborda, Juan & Laborda, Ricardo & Olmo, Jose, 2014. "Optimal currency carry trade strategies," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 52-66.
  37. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
  38. Cai, Zongwu & Ren, Yu & Yang, Bingduo, 2015. "A semiparametric conditional capital asset pricing model," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 117-126.
  39. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
  40. Spyros Skouras, 2001. "Decisionmetrics: A Decision-Based Approach to Econometric Modeling," Working Papers 01-11-064, Santa Fe Institute.
  41. Ghysels, Eric & Pereira, João Pedro, 2008. "Liquidity and conditional portfolio choice: A nonparametric investigation," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 679-699, September.
  42. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  43. Joachim Inkmann & David Blake, 2004. "Liability valuation and optimal asset allocation," LSE Research Online Documents on Economics 24754, London School of Economics and Political Science, LSE Library.
  44. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers 90, Banque de France.
  45. Cesare Robotti, 2003. "Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio," FRB Atlanta Working Paper 2003-6, Federal Reserve Bank of Atlanta.
  46. JULES H. van BINSBERGEN & MICHAEL W. BRANDT & RALPH S. J. KOIJEN, 2008. "Optimal Decentralized Investment Management," Journal of Finance, American Finance Association, vol. 63(4), pages 1849-1895, 08.
  47. Michael W. Brandt & Pedro Santa-Clara, 2004. "Dynamic Portfolio Selection by Augmenting the Asset Space," NBER Working Papers 10372, National Bureau of Economic Research, Inc.
  48. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF - Faculdade de Economia, Universidade de Coimbra.
  49. Yongmiao Hong & Jun Tu & Guofu Zhou, 2013. "Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  50. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
  51. Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2009. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3411-3447, September.
  52. Erik Hjalmarsson & Peter Manchev, 2009. "Characteristic-based mean-variance portfolio choice," International Finance Discussion Papers 981, Board of Governors of the Federal Reserve System (U.S.).
  53. Claudio Morana, 2008. "Realized portfolio selection in the euro area," ICER Working Papers - Applied Mathematics Series 10-2008, ICER - International Centre for Economic Research.
  54. Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers.
  55. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
  56. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis.
  57. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
  58. Carlos Castro, 2010. "Portfolio choice under local industry and country factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 353-393, December.
  59. Mahmoud Botshekan & Andre Lucas, 2012. "Long-Term versus Short-Term Contingencies in Asset Allocation," Tinbergen Institute Discussion Papers 12-053/2/DSF34, Tinbergen Institute.
  60. Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008. "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers 37, Brandeis University, Department of Economics and International Businesss School.
  61. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  62. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
  63. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2016. "Portfolio choice with stochastic interest rates and learning about stock return predictability," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 347-370.
  64. Thomas Breuer & Martin Jandačka, 2008. "Portfolio selection with transaction costs under expected shortfall constraints," Computational Management Science, Springer, vol. 5(4), pages 305-316, October.
  65. Antonios Sangvinatsos & Jessica A. Wachter, 2005. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?," Journal of Finance, American Finance Association, vol. 60(1), pages 179-230, 02.
  66. Fuchun Li, 2010. "Identifying Asymmetric Comovements of International Stock Market Returns," Staff Working Papers 10-21, Bank of Canada.
  67. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
  68. Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, Department of Economics and Business Economics, Aarhus University.
  69. Soosung Hwang & Steve Satchell, 2005. "Valuing information using utility functions: how much should we pay for linear factor models?," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 1-16.
  70. Gil-Bazo, Javier, 2001. "Optimal demand for long-term bonds when returns are predictable," DEE - Working Papers. Business Economics. WB wb012308, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  71. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
  72. Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
  73. Anderson, Anders E. S., 2004. "One for the Gain, Three for the Loss," SIFR Research Report Series 20, Institute for Financial Research.
  74. Bruce Lehmann & Allan Timmermann, 2007. "Performance measurement and evaluation," LSE Research Online Documents on Economics 24505, London School of Economics and Political Science, LSE Library.
  75. Chu, Ba, 2011. "Recovering copulas from limited information and an application to asset allocation," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1824-1842, July.
  76. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  77. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
  78. repec:wyi:journl:002108 is not listed on IDEAS
  79. Eric Ghysels & João Pereira, 2003. "On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation," CIRANO Working Papers 2003s-27, CIRANO.
  80. Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013. "Dynamic Copula Models and High Frequency Data," Working Papers 13-28, Duke University, Department of Economics.
  81. Yacine Aït-Sahalia & Michael W. Brandt, 2008. "Consumption and Portfolio Choice with Option-Implied State Prices," NBER Working Papers 13854, National Bureau of Economic Research, Inc.
  82. Jules H. van Binsbergen & Michael W. Brandt, 2007. "Optimal Asset Allocation in Asset Liability Management," NBER Working Papers 12970, National Bureau of Economic Research, Inc.
  83. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
  84. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2003. "Evaluating Portfolio Policies: A Duality Approach," NBER Working Papers 9861, National Bureau of Economic Research, Inc.
  85. Avramov, Doron & Wermers, Russ, 2006. "Investing in mutual funds when returns are predictable," Journal of Financial Economics, Elsevier, vol. 81(2), pages 339-377, August.
  86. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
  87. Campbell, John Y & Viceira, Luis M, 2005. "The Term Structure of the Risk-Return Tradeoff," CEPR Discussion Papers 4914, C.E.P.R. Discussion Papers.
  88. Ralph S. J. Koijen & Juan Carlos Rodríguez & Alessandro Sbuelz, 2009. "Momentum and Mean Reversion in Strategic Asset Allocation," Management Science, INFORMS, vol. 55(7), pages 1199-1213, July.
  89. Makarov, Dmitry & Schornick, Astrid V., 2010. "A note on wealth effect under CARA utility," Finance Research Letters, Elsevier, vol. 7(3), pages 170-177, September.
  90. Avramov, Doron & Wermers, Russ, 2005. "Investing in mutual funds when returns are predictable," CFR Working Papers 05-13, University of Cologne, Centre for Financial Research (CFR).
  91. Aiolfi, Marco & Favero, Carlo A., 2003. "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers 3997, C.E.P.R. Discussion Papers.
  92. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.
  93. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  94. Gomes, Francisco J., 2007. "Exploiting short-run predictability," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1427-1440, May.
  95. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
  96. De Giorgi, Enrico G. & Legg, Shane, 2012. "Dynamic portfolio choice and asset pricing with narrow framing and probability weighting," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 951-972.
  97. Chee Yin Yip & Hock Eam Lim & Hooi Hooi Lean, 2016. "Effectiveness of a Cluster of Determinants to Increase Economic Growth Rate: A Combined Statistical Criteria Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 728-735.
  98. Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3498-3516.
  99. Driessen, Joost & Maenhout, Pascal, 2013. "The world price of jump and volatility risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 518-536.
  100. Shi, Yun & Cui, Xiangyu & Li, Duan, 2015. "Discrete-time behavioral portfolio selection under cumulative prospect theory," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 283-302.
  101. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
  102. Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016. "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 110-135.
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