Semiparametric dynamic portfolio choice with multiple conditioning variables

DOI10.1016/J.JECONOM.2016.05.009MaRDI QIDQ308381zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(8)

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

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