Matches in SemOpenAlex for { <https://semopenalex.org/work/W1505095510> ?p ?o ?g. }
- W1505095510 abstract "We present a simulation-based method for solving realistic portfolio choice problems that potentially involve non-standard preferences and a large number of assets with arbitrary return distribution. Specifically, the return distribution can be time-varying as a function of many observable or unobservable state variables and can even be path-dependent. Furthermore, the method is flexible enough to accommodate intermediate consumption, parameter and model uncertainty, and portfolio constraints. We first establish the properties of the method for the choice between a stock index and cash when the stock returns are either iid or predictable by the dividend yield. We then explore the optimal asset allocation across ten industry portfolios that exhibit momentum through its empirical pattern of own- and cross-serial correlations of returns." @default.
- W1505095510 created "2016-06-24" @default.
- W1505095510 creator A5076453234 @default.
- W1505095510 date "2001-04-01" @default.
- W1505095510 modified "2023-09-30" @default.
- W1505095510 title "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects" @default.
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- W1505095510 doi "https://doi.org/10.3386/w8246" @default.
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