Variable Selection for Portfolio Choice
Top Cited Papers
- 1 August 2001
- journal article
- Published by Wiley in The Journal of Finance
- Vol. 56 (4) , 1297-1351
- https://doi.org/10.1111/0022-1082.00369
Abstract
No abstract availableKeywords
All Related Versions
This publication has 51 references indexed in Scilit:
- Mental Accounting, Loss Aversion, and Individual Stock ReturnsThe Journal of Finance, 2001
- Prospect Theory and Asset PricesThe Quarterly Journal of Economics, 2001
- Investing for the Long Run when Returns Are PredictableThe Journal of Finance, 2000
- Estimation When a Parameter is on a BoundaryEconometrica, 1999
- Transaction costs and predictability: some utility cost calculationsJournal of Financial Economics, 1999
- A General Equilibrium Model of Portfolio InsuranceThe Review of Financial Studies, 1995
- Myopic Loss Aversion and the Equity Premium PuzzleThe Quarterly Journal of Economics, 1995
- A Capital Asset Pricing Model with Time-Varying CovariancesJournal of Political Economy, 1988
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- What Price Ambiguity? or the Role of Ambiguity in Decision-MakingJournal of Political Economy, 1964