Portfolio Choices with Many Big Models | PERPUSTAKAAN UNIVERSITAS KATOLIK PARAHYANGAN

Pencarian berdasarkan :

Pencarian terakhir:

Text

Portfolio Choices with Many Big Models

Anderson, Evan - Nama Orang; Cheng, Ai-ru (Meg) - Nama Orang;

This paper proposes a Bayesian-averaging heterogeneous vector autoregressive portfolio choice strategy with many big models that outperforms existing methods out-of-sample on numerous daily, weekly, and monthly datasets. The strategy assumes that excess returns are approximately determined by a time-varying regression with a large number of explanatory variables that are the sample means of past returns. Investors consider the possibility that every period there is a regime change by keeping track of many models, but doubt that any specification is able to perfectly predict the distribution of future returns, and compute portfolio choices that are robust to model misspecification.

Ketersediaan

Barcode		Tipe Koleksi	Nomor Panggil	Lokasi	Status
art140840	null	Artikel		Gdg9-Lt3	Tersedia namun tidak untuk dipinjamkan - No Loan

Informasi Detail

Judul Seri: MANAGEMENT SCIENCE; Vol.68 No.1 January 2022
No. Panggil: -
Penerbit: : .,
Deskripsi Fisik: p. 690-715
Bahasa: English
ISBN/ISSN: -
Klasifikasi: NONE
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: -
Edisi: -
Subjek: ECONOMICS - AMERICAN
ECONOMETRICS
FINANCE
INVESTMENT
PORTFOLIO
MODEL UNCERTAINTY
Info Detail Spesifik: https://doi.org/10.1287/mnsc.2020.3876
Pernyataan Tanggungjawab: Evan Anderson, Ai-ru (Meg) Cheng

Versi lain/terkait

Tidak tersedia versi lain

Lampiran Berkas

Tidak Ada Data

Komentar

Anda harus masuk sebelum memberikan komentar