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• W2086399461 abstract "We examine the out of sample performance of country equity asset allocation strategies between January 1985 and February 2000 that use conditional versions of international asset pricing models to forecast expected returns. We find that strategies that use conditional asset pricing models tend not to outperform a strategy that uses the sample mean to forecast expected returns. We find that this result is fairly robust across different levels of risk aversion, whether riskless lending is available or not, and when we impose upper bound constraints." @default.
• W2086399461 created "2016-06-24" @default.
• W2086399461 creator A5078257794 @default.
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• W2086399461 date "2005-09-01" @default.
• W2086399461 modified "2023-09-25" @default.
• W2086399461 title "An examination of linear factor models in country equity asset allocation strategies" @default.
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• W2086399461 doi "https://doi.org/10.1016/s1062-9769(02)00192-8" @default.
• W2086399461 hasPublicationYear "2005" @default.
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