Variable selection for portfolio choice
By: Yacine Aiẗ-Sahalia, Michael W. Brandt.
Contributors: Brandt, Michael W.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 8127; Working paper series (National Bureau of Economic Research) -- working paper no. 8127.
Publisher: National Bureau of Economic Research
Published: 2001
Place of publication: Cambridge, MA
Language: eng
Number of pages: 68
Subjects: Asset allocation.
Notes: "February 2001."

JEL no. G11, C43, D81.

Includes bibliographical references (p. 35-39).

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Electronic version available via the Internet at the NBER World Wide Web site.