Data-generating process uncertainty: What difference does it make in portfolio decisions?

By Jun Tu, Guofu Zhou. 2004

127 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/935ccdcd8a3d144f0282241c677ffd2182322c72

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Citations in the corpus

Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors (2007, methodology): “Indeed, mean-variance efficiency tests that relax normal ity include (a) large-sample GMM or bootstrap techniques (Affleck-Graves and McDonald 1989; MacKinlay and Richard son 1991; Fama and French 1993; Jagannathan and Wang 1996; Ferson and Harvey 1999; Groenwold and Fraser 2001); (b) semiparametric”
Predicting stock returns (2006, unknown): “Recent advances in Bayesian asset allocation include Kandel and Stambaugh (1996), Barberis (2000), Pastor (2000), Pastor and Stambaugh (2000, 2002), Avramov (2002, 2004), Tu and Zhou (2004), and Avramov and Wermers (2006).”
Optimal Portfolio Choice with Parameter Uncertainty (2007, background): “…and indirect theoretical support for a number of recent studies, such as Kandel and Stambaugh (1996), Barberis (2000), Pástor (2000), Pástor and Stambaugh (2000), Xia (2001), Tu and Zhou (2004), and Kacperczyk (2004), that use the Bayesian predictive approach to account for parameter uncertainty.”
Learning in Financial Markets (2009, background): “Recent contributions include Kandel and Stambaugh (1996), Barberis (2000), Pástor (2000), Pástor and Stambaugh (2000, 2002b), Tu and Zhou (2004, 2008), Avramov (2004), Brandt et al (2005), Avramov and Chordia (2006), Avramov and Wermers (2006), Kan and Zhou (2007), and Wachter and Warusawitharana…”
Technical analysis: An asset allocation perspective on the use of moving averages (2009, methodology): “Similar measures are used by Kandel and Stambaugh (1996), Pástor and Stambaugh (2000), Fleming, Kirby, and Ostdiek (2001), and Tu and Zhou (2004), among others.”
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2007, methodology): “However, when the data are nonnormal, such as t-distributed, it can be determined only numerically as shown by Tu and Zhou (2004). In the present case of a mixture copula model with asymmetries, the predictive density is more complex.”