Variable Selection for Portfolio Choice:
We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determine directly the dependence of the optimal portfolio weights on the predictive variables. We combine...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2001
|
| Schriftenreihe: | NBER working paper series
8127 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determine directly the dependence of the optimal portfolio weights on the predictive variables. We combine the predictors 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 combination. We consider investors with both expected utility (mean-variance and CRRA) and non-expected utility (ambiguity aversion and prospect theory) objectives and characterize their market-timing, horizon effects, and hedging demands. |
| Beschreibung: | Online-Ausg. im Internet |
| Beschreibung: | 68 S. Ill. |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV035066275 | ||
| 003 | DE-604 | ||
| 005 | 20090102 | ||
| 007 | t | ||
| 008 | 080923s2001 xxua||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)46418675 | ||
| 035 | |a (DE-599)BVBBV035066275 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-19 |a DE-521 | ||
| 050 | 0 | |a HB1 | |
| 100 | 1 | |a Aït-Sahalia, Yacine |e Verfasser |0 (DE-588)128764465 |4 aut | |
| 245 | 1 | 0 | |a Variable Selection for Portfolio Choice |c Yacine Ait-Sahalia; Michael Brandt |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2001 | |
| 300 | |a 68 S. |b Ill. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a NBER working paper series |v 8127 | |
| 500 | |a Online-Ausg. im Internet | ||
| 520 | |a We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determine directly the dependence of the optimal portfolio weights on the predictive variables. We combine the predictors 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 combination. We consider investors with both expected utility (mean-variance and CRRA) and non-expected utility (ambiguity aversion and prospect theory) objectives and characterize their market-timing, horizon effects, and hedging demands. | ||
| 650 | 4 | |a Asset allocation | |
| 700 | 1 | |a Brandt, Michael W. |e Verfasser |0 (DE-588)128773073 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 830 | 0 | |a NBER working paper series |v 8127 |w (DE-604)BV002801238 |9 8127 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w8127.pdf |z kostenfrei |3 Volltext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016734732 | ||
Datensatz im Suchindex
| _version_ | 1804138012613804032 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Aït-Sahalia, Yacine Brandt, Michael W. |
| author_GND | (DE-588)128764465 (DE-588)128773073 |
| author_facet | Aït-Sahalia, Yacine Brandt, Michael W. |
| author_role | aut aut |
| author_sort | Aït-Sahalia, Yacine |
| author_variant | y a s yas m w b mw mwb |
| building | Verbundindex |
| bvnumber | BV035066275 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| ctrlnum | (OCoLC)46418675 (DE-599)BVBBV035066275 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01943nam a2200361 cb4500</leader><controlfield tag="001">BV035066275</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20090102 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">080923s2001 xxua||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)46418675</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV035066275</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-19</subfield><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Aït-Sahalia, Yacine</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)128764465</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Variable Selection for Portfolio Choice</subfield><subfield code="c">Yacine Ait-Sahalia; Michael Brandt</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="b">National Bureau of Economic Research</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">68 S.</subfield><subfield code="b">Ill.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">NBER working paper series</subfield><subfield code="v">8127</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Online-Ausg. im Internet</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determine directly the dependence of the optimal portfolio weights on the predictive variables. We combine the predictors 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 combination. We consider investors with both expected utility (mean-variance and CRRA) and non-expected utility (ambiguity aversion and prospect theory) objectives and characterize their market-timing, horizon effects, and hedging demands.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Asset allocation</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Brandt, Michael W.</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)128773073</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">NBER working paper series</subfield><subfield code="v">8127</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">8127</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w8127.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016734732</subfield></datafield></record></collection> |
| id | DE-604.BV035066275 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:02:23Z |
| indexdate | 2024-07-09T21:21:25Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016734732 |
| oclc_num | 46418675 |
| open_access_boolean | 1 |
| owner | DE-19 DE-BY-UBM DE-521 |
| owner_facet | DE-19 DE-BY-UBM DE-521 |
| physical | 68 S. Ill. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | NBER working paper series |
| series2 | NBER working paper series |
| spelling | Aït-Sahalia, Yacine Verfasser (DE-588)128764465 aut Variable Selection for Portfolio Choice Yacine Ait-Sahalia; Michael Brandt Cambridge, Mass. National Bureau of Economic Research 2001 68 S. Ill. txt rdacontent n rdamedia nc rdacarrier NBER working paper series 8127 Online-Ausg. im Internet We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determine directly the dependence of the optimal portfolio weights on the predictive variables. We combine the predictors 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 combination. We consider investors with both expected utility (mean-variance and CRRA) and non-expected utility (ambiguity aversion and prospect theory) objectives and characterize their market-timing, horizon effects, and hedging demands. Asset allocation Brandt, Michael W. Verfasser (DE-588)128773073 aut Erscheint auch als Online-Ausgabe NBER working paper series 8127 (DE-604)BV002801238 8127 http://papers.nber.org/papers/w8127.pdf kostenfrei Volltext |
| spellingShingle | Aït-Sahalia, Yacine Brandt, Michael W. Variable Selection for Portfolio Choice NBER working paper series Asset allocation |
| title | Variable Selection for Portfolio Choice |
| title_auth | Variable Selection for Portfolio Choice |
| title_exact_search | Variable Selection for Portfolio Choice |
| title_exact_search_txtP | Variable Selection for Portfolio Choice |
| title_full | Variable Selection for Portfolio Choice Yacine Ait-Sahalia; Michael Brandt |
| title_fullStr | Variable Selection for Portfolio Choice Yacine Ait-Sahalia; Michael Brandt |
| title_full_unstemmed | Variable Selection for Portfolio Choice Yacine Ait-Sahalia; Michael Brandt |
| title_short | Variable Selection for Portfolio Choice |
| title_sort | variable selection for portfolio choice |
| topic | Asset allocation |
| topic_facet | Asset allocation |
| url | http://papers.nber.org/papers/w8127.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT aitsahaliayacine variableselectionforportfoliochoice AT brandtmichaelw variableselectionforportfoliochoice |