Portfolio choice under local industry and country factors

This article extends the parametric portfolio policy approach to optimizing portfolios with a large numbers of assets (Brandt et al. 2009). The proposed approach incorporates unobserved effects into the portfolio policy function. These effects measure the importance of unobserved heterogeneity for e...

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Detalles Bibliográficos
Autor Principal: Castro, Carlos
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2010
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/24060
https://doi.org/10.1007/s11408-010-0143-9

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