How do people make choices in a dynamic stochastic environment when they face uncertainty about the return of their choices? The classical approach to this problem is to assume consumers use dynamic programming to obtain the optimal decision rule. However, this approach has two drawbacks. First,...

This paper introduces a new approach to constructing optimal mean-variance portfolios. The approach relies on a novel unconstrained regression representation of the mean-variance optimization problem combined with high-dimensional sparse-regression methods. Our estimated portfolio, under a mild...