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...
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| Materiálatiipa: | Journal article |
| Almmustuhtton: |
Taylor and Francis
2018
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