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Data-generating process uncertainty: what difference does it make in portfolio decisions?

Authors :
Tu, Jun
Zhou, Guofu
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