Portfolio choice by full-scale optimization applies the empirical return distribution to a parameterized utility function, and the maximum is found through numerical optimization. Using a portfolio choice setting of three UK equity indices we identify several utility functions featuring loss...

This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are valuable for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money, including different methods of aggregation and different...

This paper uses several methods to study the interrelationship among Divisia monetary aggregates, prices, and income; allowing for non-stationary, non-linearities, asymmetries, and time-varying relationships among the series. We propose a multivariate regime switching unobserved components model...