search query: @author Brandt, M.W. / total: 5
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| Author: | Aït-Sahalia, Y. Brandt, M.W. |
| Title: | Variable selection for portfolio choice |
| Journal: | Journal of Finance
2001 : AUG, VOL. 56:4, p. 1297-1355 |
| Index terms: | ALLOCATION PORTFOLIO MANAGEMENT |
| Freeterms: | VARIABLE SELECTION |
| Language: | eng |
| Abstract: | The authors 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, the authors determine directly the dependence of the optimal portfolio weights on the predictive variables. |
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