Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation

Author:

Xia Yihong

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference40 articles.

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2. Bawa , Vijay S. Stephen J. Brown Roger W. Klein 1979 Estimation Risk and Optimal Portfolio Choice North-Holland New York

3. Implementing statistical criteria to select return forecasting models: What do we learn;Bossaerts;Review of Financial Studies,1999

4. Estimating portfolio and consumption choice: A conditional Euler equation approach;Brandt;Journal of Finance,1999

5. The role of learning in dynamic portfolio decisions;Brennan;European Economic Review,1998

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