Variable Selection for Portfolio Choice / Discussion  

Oleh:

Ait-Sahalia, Vacine ; Brandt, Michael W. ; Wachter, Jessica A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 4 (2001), page 1297-1355.
Topik: portfolio; studies; investment policy; asset allocation; portfolio investments; indexes; predictions
Fulltext: p 1297.pdf (2.63MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Asset allocation when the conditional moments of returns are partly predictable is studied. Rather than first model the return distribution and subsequently characterize the portfolio choice, the dependence of the optimal portfolio weights on the predictive variables is determined. The predictors are combined into a single index that best captures time variations in investment opportunities. This index helps investors determine which economic variables they should track and, more importantly, in what combinations. Investors with both expected utility and nonexpected utility objectives are considered and their market timing, horizon effects, and hedging demands are characterized.

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