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Author:Xia, Y.
Title:Learning about predictability: the effects of parameter uncertainty on dynamic asset allocation
Journal:Journal of Finance
2001 : FEB, VOL. 56:1, p. 205-246
Index terms:Stock returns
Share valuation
Portfolio management
Assets
Allocation
Language:eng
Abstract:This paper examines the effects of uncertainty about the stock return predictability on optimal dynamic portfolio choice in a continuous time setting for a longhorizon investor. There is substantial market timing in the optimal hedge demands, which is caused by stochastic coveriance between stock return and dynamic learning.
SCIMA record nr: 223200
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