2017
DOI: 10.2139/ssrn.2964490
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Multiple Regression Model Averaging and the Focused Information Criterion with an Application to Portfolio Choice

Abstract: We consider multiple regression (MR) model averaging using the Focused Information Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance portfolio choice rule. The usual approach is to estimate parameters ignoring the intention to use them in portfolio choice. We develop an estimation method that focuses on the trading rule of interest. Asymptotic distributions of submodel estimators in the MR case are derived using a localization framework. The localization is of both regre… Show more

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“…Furthermore, multiple regression can be combined with the model of focused information criterion (FIS). In the context of portfolio creation, the combination enables obtaining better estimates (Klimenka and Wolter, 2019).…”
Section: Literature Reviewmentioning
confidence: 99%
“…Furthermore, multiple regression can be combined with the model of focused information criterion (FIS). In the context of portfolio creation, the combination enables obtaining better estimates (Klimenka and Wolter, 2019).…”
Section: Literature Reviewmentioning
confidence: 99%