Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice depending on multiple conditioning variables, where the number of the conditioning variables can be either fixed or...

In this paper, we consider semiparametric model averaging of the nonlinear dynamic time series system where the number of exogenous regressors is ultra large and the number of autoregressors is moderately large. In order to accurately forecast the response variable, we propose two semiparametric...