Blar i Norges Banks vitenarkiv på emneord "portfolio choice"
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Optimal Portfolio Choice Under Decision-Based Model Combinations
(Working Papers;15/2014, Working paper, 2014)We propose a novel Bayesian model combination approach where the combination weights depend on the past forecasting performance of the individual models entering the combination through a utility-based objective function. ... -
Portfolio Choice When Managers Control Returns
(Working Papers;15/2005, Working paper, 2005)This paper investigates the allocation decision of an investor with two projects. Separate managers control the mean return from each project, and the investor may or may not observe the managers’ actions. We show that the ...