Predictable returns and asset allocation: should a skeptical investor time the market?

DOI10.1016/j.jeconom.2008.10.009zbMath1429.91295OpenAlexW3121735048MaRDI QIDQ301975

Missaka Warusawitharana, Jessica A. Wachter

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://repository.upenn.edu/cgi/viewcontent.cgi?article=1023&context=fnce_papers

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Portfolio theory (91G10)

Related Items (5)

Strategic asset allocation with liabilities: beyond stocks and bonds ⋮ Optimal asset allocation with multivariate Bayesian dynamic linear models ⋮ Predictability of stock returns and asset allocation under structural breaks ⋮ Hedging recessions ⋮ What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio

Cites Work

• Statistical decision theory and Bayesian analysis. 2nd ed
• Strategic asset allocation
• Prospect Theory and Asset Prices
• On Two Methods of Brown and Shook
• Rare Disasters and Asset Markets in the Twentieth Century*
• The Effect of the First Observation in Regression Models with First-Order Autoregressive Disturbances
• Estimation for Markowitz Efficient Portfolios
• Understanding Unit Rooters: A Helicopter Tour
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• The Empirical Bayes Approach to Statistical Decision Problems
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