Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation

By Yihong Xia. 2000

398 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/999053b6abea34dcd30b1501fcb07417c97907ab

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Citations in the corpus

An Empirical Analysis of Stock and Bond Market Liquidity (2005, background): “…1991) and time-varying liquidity in Treasury bond markets (Krishnamurthy, 2002), the intertemporal interactions of liquidity proxies with returns 4See, for example, Amman and Zimmerman (2001) and Fox (1999) for practical considerations, and Barberis (2000) or Xia (2001) for more academic studies.”
Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002, background): “Xia (2001) documents the effect of learning about predictability.”
Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors (2005, neutral): “We could also modify our model to allow for parameter uncertainty, as in Barberis (2000), or learning, as in Xia (2001).”
Predictive Regressions with Time-Varying Coefficients (2012, neutral): “Kandel and Stambaugh (1996), Barberis (2000), and Xia (2001) explicitly take into account parameter uncertainty and evaluate the influence of return predictability on portfolio selection using Bayesian methods.”
Good Times or Bad Times? Investors' Uncertainty and Stock Returns (2009, neutral): “Brennan and Xia (2001) argue that allowing for uncertainty over fundamentals and learning over time can help resolve the equity premium puzzle by increasing the volatility of stock prices.5 Barberis (2000) and Xia (2001) extend earlier work by Kandel and Stambaugh (1996) to incorporate the effects…”
Asset Allocation Under Multivariate Regime Switching (2005, positive): “In related research Brennan and Xia (2001) and Pástor (2000) propose a Bayesian framework to address optimal portfolio choice when investors face model uncertainty and asset return distributions take the form of mixtures over a range of theoretical and data-driven models.”
The Cross-Section of Expected Trading Activity (2007, neutral): “For other models of learning, see Klein and Bawa (1977), Barry and Brown (1985), Wang (1994), Veronesi (1999), Brennan and Xia (2001), and Xia (2001).”
Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006, methodology): “In an incomplete market general equilibrium setting, however, when investors care about intertemporal consumption this is no longer true 6 This parameter is calibrated from the values obtained by Xia (2001) using a VAR approach. since they can engage in state-dependent risk-sharing.”
Technical analysis: An asset allocation perspective on the use of moving averages (2009, methodology): “As in Xia (2001), we assume rbx to be zero.”
Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? (2009, background): “That is CER = E[rp] − A1 2 Var[rp], (20) where A is the appropriate risk-aversion parameter (see, e.g., Brennan and Xia (2001)).”
Bias and Variance Approximation in Value Function Estimates (2007, background): “An exception is the literature dealing with online learning of optimal policies (adaptive control of Markov chains, reinforcement learning) (Sutton and Barto 1998, Bertsekas and Tsitsiklis 1996).”