How Long to Read Predictions, Nonlinearities and Portfolio Choice

How Long Does it Take to Read Predictions, Nonlinearities and Portfolio Choice?

It takes the average reader 3 hours and 43 minutes to read Predictions, Nonlinearities and Portfolio Choice by Friedrich Christian Kruse

Assuming a reading speed of 250 words per minute. Learn more

Description

Finance researchers and asset management practitioners put a lot of effort into the question of optimal asset allocation. With this respect, a lot of research has been conducted on portfolio decision making as well as quantitative modeling and prediction models. This study brings together three fields of research, which are usually analyzed in an isolated manner in the literature: - Predictability of asset returns and their covariance matrix - Optimal portfolio decision making - Nonlinear modeling, performed by artificial neural networks, and their impact on predictions as well as optimal portfolio construction Including predictability in asset allocation is the focus of this work and it pays special attention to issues related to nonlinearities. The contribution of this study to the portfolio choice literature is twofold. First, motivated by the evidence of linear predictability, the impact of nonlinear predictions on portfolio performances is analyzed. Predictions are empirically performed for an investor who invests in equities (represented by the DAX index), bonds (represented by the REXP index) and a risk-free rate. Second, a solution to the dynamic programming problem for intertemporal portfolio choice is presented. The method is based on functional approximations of the investor's value function with artificial neural networks. The method is easily capable of handling multiple state variables. Hence, the effect of adding predictive parameters to the state space is the focus of analysis as well as the impacts of estimation biases and the view of a Bayesian investor on intertemporal portfolio choice. One important empirical result shows that residual correlation among state variables have an impact on intertemporal portfolio decision making.

How long is Predictions, Nonlinearities and Portfolio Choice?

Predictions, Nonlinearities and Portfolio Choice by Friedrich Christian Kruse is 222 pages long, and a total of 55,944 words.

This makes it 75% the length of the average book. It also has 68% more words than the average book.

How Long Does it Take to Read Predictions, Nonlinearities and Portfolio Choice Aloud?

The average oral reading speed is 183 words per minute. This means it takes 5 hours and 5 minutes to read Predictions, Nonlinearities and Portfolio Choice aloud.

What Reading Level is Predictions, Nonlinearities and Portfolio Choice?

Predictions, Nonlinearities and Portfolio Choice is suitable for students ages 12 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

Where Can I Buy Predictions, Nonlinearities and Portfolio Choice?

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