Semiparametric dynamic portfolio choice with multiple conditioning variables

DOI10.1016/J.JECONOM.2016.05.009zbMATH Open1443.62339OpenAlexW1571382854MaRDI QIDQ308381FDOQ308381

Authors: Jia Chen, Degui Li, Oliver Linton, Zudi Lu 

Publication date: 6 September 2016

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

Full work available at URL: https://eprints.soton.ac.uk/390375/1/Lu-JoE-accepted.pdf

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zbMATH Keywords

kernel smoothingmodel averagingportfolio choiceutility functionconditioning variables

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Nonlinear time series. Nonparametric and parametric methods
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• Nonconcave penalized likelihood with a diverging number of parameters.
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Local linear fitting under near epoch dependence: uniform consistency with convergence rates
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Asset pricing and portfolio choice theory.
• A flexible semiparametric forecasting model for time series
• Uniform convergence rates of kernel estimators with heterogeneous dependent data

Cited In (8)

• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
• Semiparametric model averaging method for survival probability predictions of patients
• Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
• Model averaging marginal regression for high dimensional conditional quantile prediction
• A semiparametric graphical modelling approach for large-scale equity selection
• Semiparametric model averaging for ultrahigh-dimensional conditional quantile prediction
• Dynamic portfolio choice: a simulation-and-regression approach

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