Abstract #300596

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JSM 2002 Abstract #300596
Activity Number: 157
Type: Invited
Date/Time: Tuesday, August 13, 2002 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #300596
Title: General Bias-Corrected Conditional Portfolio Rules
Author(s): David Chapman*+ and Murray Carlson and Hong Yan
Affiliation(s): University of Texas, Austin and University of British Columbia and University of Texas, Austin
Address: The University of Texas at Austin, Austin, Texas, 78712-1179, USA
Keywords:
Abstract:

Stambaugh (1999) demonstrates that predictive regressions based on conditioning variables that depend on end-of-period prices are biased in finite sample and that the magnitude of this bias can be large. We examine the use of bootstrap bias-reduction techniques to construct robust optimal consumption/portfolio rules.

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