Multiperiod dynamic portfolio choice : when high dimensionality meets return predictability
Wenfeng He, Xiaoling Mei, Wei Zhong, and Huanjun Zhu
| Year of publication: |
2025
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| Authors: | He, Wenfeng ; Mei, Xiaoling ; Zhong, Wei ; Zhu, Huanjun |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 43.2025, 2, p. 351-364
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| Subject: | Dimension reduction | Factor model | Model averaging | Portfolio selection | Semiparametric estimation | Portfolio-Management | Nichtparametrisches Verfahren | Nonparametric statistics | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2024.2374971 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534153