Multiple regression model averaging and the focused information criterion with an application to portfolio choice
We consider multiple regression (MR) model averaging using the Focused Informati on Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance portfolio choice rule. The usual approach is to estimate parameters ignoring the intention to use them in portfolio choice. We...
| Main Authors: | , |
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| Formato: | Journal article |
| Publicado em: |
Taylor and Francis
2018
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| _version_ | 1826296844256280576 |
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| author | Klimenka, F Wolter, J |
| author_facet | Klimenka, F Wolter, J |
| author_sort | Klimenka, F |
| collection | OXFORD |
| description | We consider multiple regression (MR) model averaging using the Focused Informati on Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance portfolio choice rule. The usual approach is to estimate parameters ignoring the intention to use them in portfolio choice. We develop an estimation method that focuses on the trading rule of interest. Asymptotic distributions of submodel estimators in the MR case are derived using a localization framework. The localization is of both regression coefficients and error covariances. Distributions of submodel estimators are used for model selection with the FIC. This allows comparison of submodels using the risk of portfolio rule estimators. FIC model averaging estimators are then characterized. This extension further improves risk properties. We show in simulations that applying these methods in the portfolio choice case results in improved estimates compared with several competitors. An application to futures data shows superior performance as well. |
| first_indexed | 2024-03-07T04:22:35Z |
| format | Journal article |
| id | oxford-uuid:cb866848-c750-48ea-9ed4-c51ab87f63af |
| institution | University of Oxford |
| last_indexed | 2024-03-07T04:22:35Z |
| publishDate | 2018 |
| publisher | Taylor and Francis |
| record_format | dspace |
| spelling | oxford-uuid:cb866848-c750-48ea-9ed4-c51ab87f63af2022-03-27T07:15:29ZMultiple regression model averaging and the focused information criterion with an application to portfolio choiceJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:cb866848-c750-48ea-9ed4-c51ab87f63afSymplectic Elements at OxfordTaylor and Francis2018Klimenka, FWolter, JWe consider multiple regression (MR) model averaging using the Focused Informati on Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance portfolio choice rule. The usual approach is to estimate parameters ignoring the intention to use them in portfolio choice. We develop an estimation method that focuses on the trading rule of interest. Asymptotic distributions of submodel estimators in the MR case are derived using a localization framework. The localization is of both regression coefficients and error covariances. Distributions of submodel estimators are used for model selection with the FIC. This allows comparison of submodels using the risk of portfolio rule estimators. FIC model averaging estimators are then characterized. This extension further improves risk properties. We show in simulations that applying these methods in the portfolio choice case results in improved estimates compared with several competitors. An application to futures data shows superior performance as well. |
| spellingShingle | Klimenka, F Wolter, J Multiple regression model averaging and the focused information criterion with an application to portfolio choice |
| title | Multiple regression model averaging and the focused information criterion with an application to portfolio choice |
| title_full | Multiple regression model averaging and the focused information criterion with an application to portfolio choice |
| title_fullStr | Multiple regression model averaging and the focused information criterion with an application to portfolio choice |
| title_full_unstemmed | Multiple regression model averaging and the focused information criterion with an application to portfolio choice |
| title_short | Multiple regression model averaging and the focused information criterion with an application to portfolio choice |
| title_sort | multiple regression model averaging and the focused information criterion with an application to portfolio choice |
| work_keys_str_mv | AT klimenkaf multipleregressionmodelaveragingandthefocusedinformationcriterionwithanapplicationtoportfoliochoice AT wolterj multipleregressionmodelaveragingandthefocusedinformationcriterionwithanapplicationtoportfoliochoice |