Semiparametric dynamic portfolio choice with multiple conditioning variables

DOI10.1016/j.jeconom.2016.05.009zbMath1443.62339OpenAlexW1571382854MaRDI QIDQ308381

Degui Li, Jia Chen, Oliver B. Linton, Zu-di Lu

Publication date: 6 September 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/390375/1/Lu-JoE-accepted.pdf

zbMATH Keywords

kernel smoothingutility functionportfolio choicemodel averagingconditioning variables

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

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