Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model

Journal of Empirical Finance

Volumn 19, Issue 2, 2012, Pages 241-253

  Engsted, Tom ^a   Pedersen, Thomas Q ^a  

^a AARHUS UNIVERSITY   (Denmark)

Author keywords

Intertemporal portfolio choice; Out of sample evaluation; Return predictability; Small sample bias; Utility calculations; VAR model

Indexed keywords

EID: 84857653493     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2012.01.003     Document Type: Article

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