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Tactical Asset Allocation, Parameter Uncertainty, and Intertemporal Hedging : an Exploratory Study for the Swiss Stock Market
Rey, David
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2004
This paper examines how the evidence of stock market predictability affects optimal portfolio choice for buy-and-hold and dynamic investors withdifferent planning horizons.
Persistent link: https://www.econbiz.de/10005849474
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A Variance Decomposition for Swiss Stock Market Returns
Rey, David
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2004
This paper analyzes the persistence or serial correlation of expected returns as well as the univariate time-series approach that studies the implied autocorrelation function of realized stock returns, including meanreversion and its conditions.
Persistent link: https://www.econbiz.de/10005849475
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