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- W1577996743 abstract "We consider: i) a dynamic investor who rebalances over time, treats returns as i.i.d., and accounts for learning, and ii) a static buy-and-hold investor who is aware of predictability and estimation risk. Both investors are internationally diversified and combine information on long- and short-history markets using cross-inference. For a dynamic investor, cross-inference generates separate hedging demands, and learning may generate positive hedging demands. For a static investor, some risky-asset allocations may decrease when estimation risk is ignored. Ignoring cross-inference, learning, and estimation risk, can generate sizable utility costs. Optimal investment in emerging markets, substantial in 1994, essentially drops to zero in 2000." @default.
- W1577996743 created "2016-06-24" @default.
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- W1577996743 date "2001-01-01" @default.
- W1577996743 modified "2023-10-16" @default.
- W1577996743 title "Parameter Uncertainty and International Investment" @default.
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- W1577996743 doi "https://doi.org/10.2139/ssrn.276494" @default.
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