Variable selection for portfolio choice
Publication
, Journal Article
Aït-Sahalia, Y; Brandt, MW
Published in: Journal of Finance
January 1, 2001
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 nonexpected utility (ambiguity aversion and prospect theory) objectives and characterize their market timing, horizon effects, and hedging demands.
Duke Scholars
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Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 2001
Volume
56
Issue
4
Start / End Page
1297 / 1351
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
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Chicago
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Aït-Sahalia, Y., & Brandt, M. W. (2001). Variable selection for portfolio choice. Journal of Finance, 56(4), 1297–1351. https://doi.org/10.1111/0022-1082.00369
Aït-Sahalia, Y., and M. W. Brandt. “Variable selection for portfolio choice.” Journal of Finance 56, no. 4 (January 1, 2001): 1297–1351. https://doi.org/10.1111/0022-1082.00369.
Aït-Sahalia Y, Brandt MW. Variable selection for portfolio choice. Journal of Finance. 2001 Jan 1;56(4):1297–351.
Aït-Sahalia, Y., and M. W. Brandt. “Variable selection for portfolio choice.” Journal of Finance, vol. 56, no. 4, Jan. 2001, pp. 1297–351. Scopus, doi:10.1111/0022-1082.00369.
Aït-Sahalia Y, Brandt MW. Variable selection for portfolio choice. Journal of Finance. 2001 Jan 1;56(4):1297–1351.
Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 2001
Volume
56
Issue
4
Start / End Page
1297 / 1351
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment