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

DOI10.1016/j.jeconom.2008.10.009zbMath1429.91295MaRDI 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

62P20: Applications of statistics to economics

91G10: Portfolio theory

Related Items

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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