Author: J. Tu
Edition:
Binding: Digital
ISBN: B000RR1550
Edition:
Binding: Digital
ISBN: B000RR1550
Data-generating process uncertainty: What difference does it make in portfolio decisions? [An article from: Journal of Financial Economics]
This digital document is a journal article from Journal of Financial Economics, published by Elsevier in 2004. Get Data-generating process uncertainty: What difference does it make in portfolio decisions? [An article from computer books for free.
The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
As the usual normality assumption is firmly rejected by the data, investors encounter a data-generating process (DGP) uncertainty in making investment decisions. In this paper, we propose a novel way to incorporate uncertainty about the DGP into portfolio analysis. We find that accounting for fat tails leads to nontrivial changes in both parameter estimates and optimal portfolio weights, but the certainty-equivalent losses associated with Check Data-generating process uncertainty: What difference does it make in portfolio decisions? [An article from our best computer books for 2013. All books are available in pdf format and downloadable from rapidshare, 4shared, and mediafire.
Data-generating process uncertainty: What difference does it make in portfolio decisions? [An article from Free
The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
As the usual normality assumption is firmly rejected by the data, investors encounter a data-generating process (DGP) uncertainty in making investment decisions We find that accounting for fat tails leads to nontrivial changes in both parameter estimates and optimal portfolio weights, but the certainty-equivalent losses associated with
No comments:
Post a Comment