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Data-generating process uncertainty: what difference does it make in portfolio decisions?
- Source :
- Journal of Financial Economics. May, 2004, Vol. 72 Issue 2, p385, 37 p.
- Publication Year :
- 2004
-
Abstract
- A new method has been proposed, which highlights the importance and the need for incorporating data-generating process (DGP) uncertainty in portfolio analysis and in financial decision-making. The investor can utilize the DGP uncertainty for making realistic decisions, keeping in mind the uncertainties of parameter, asset pricing model and DGP.
Details
- Language :
- English
- ISSN :
- 0304405X
- Volume :
- 72
- Issue :
- 2
- Database :
- Gale General OneFile
- Journal :
- Journal of Financial Economics
- Publication Type :
- Academic Journal
- Accession number :
- edsgcl.122455869