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Six-factor asset pricing and portfolio investment via deep learning : evidence from Chinese stock market

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Return predictability via an long short-term memory-based cross-section factor model : evidence from Chinese stock market

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Does expected idiosyncratic skewness of firms' profit predict the cross-section of stock returns? : evidence from China

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Three Essays on Robust Optimization of Efficient Portfolios

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Semiparametric dynamic portfolio choice with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015

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Semiparametric dynamic portfolio choice with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015

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...

Persistent link: https://www.econbiz.de/10010481119

The escalation of commitment and disposition effect in securities trading : an experimental study

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Semiparametric dynamic portfolio choice with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - In: Journal of econometrics 194 (2016) 2, pp. 309-318

Persistent link: https://www.econbiz.de/10011705164

Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables

Chen, Jia - 2015

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 with multiple conditioning variables, where the number of the conditioning variables can be either fixed or di- verging...

Persistent link: https://www.econbiz.de/10013028386