11 treff

A simulation approach to dynamic portfolio choice with an application to learning about return predictability
Michael W. Brandt ... [et al.]
Bok Engelsk 2004
Dynamic portfolio selection by augmenting the asset space
Michael W. Brandt, Pedro Santa-Clara
Bok Engelsk 2004
Parametric portfolio policies : Exploiting characteristics in the cross-section of equity returns
Michael W. Brandt, Pedro Santa-Clara, Ros...
Bok Engelsk 2004
A no-arbitrage approach to range-based estimation of return covariances and correlations
Michael W. Brandt, Francis X. Diebold
Bok Engelsk 2003
Price discovery in the U.S. treasury market : the impact of orderflow and liquidity on the yield curve
Michael W. Brandt, Kenneth A. Kavajecz
Bok Engelsk 2003
Time-consistent no-arbitrage models of the term structure
Michael W. Brandt, Amir Yaron
Bok Engelsk 2003
The effect of macroeconomic news on beliefs and preferences : evidence from the options market
Alessandro Beber, Michael W. Brandt
Bok Engelsk 2003
On the relationship between the conditional mean and volatility of stock returns : a latent var approach
Michael W. Brandt, Qiang Kang
Bok Engelsk 2002
High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models

Bok Engelsk 2001
Variable selection for portfolio choice

Bok Engelsk 2001
International risk sharing is better than you think : (or exchange rates are much too smooth)

Bok Engelsk 2001