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| Tekijä: | Xia, Y. |
| Otsikko: | Learning about predictability: the effects of parameter uncertainty on dynamic asset allocation |
| Lehti: | Journal of Finance
2001 : FEB, VOL. 56:1, p. 205-246 |
| Asiasana: | Stock returns Share valuation Portfolio management Assets Allocation |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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