Data-Generating Process Uncertainty: What Difference Does It Make in Portfolio Decisions

As the usual normality assumption is firmly rejected by the data, investors encounter a data-generating process (DGP) uncertainty in making investment decisions. In this paper, we propose a novel way to incorporate uncertainty about the DGP into portfolio analysis. We find that accounting for fat ta...

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Bibliographic Details
Main Authors: Tu, Jun, Zhou, Guofu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2692
https://doi.org/10.1016/j.jfineco.2003.05.003
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Institution: Singapore Management University
Language: English
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