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5. Properties of Optimal Forecasts. (2004). Timmermann, Allan ; Patton, Andrew.
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2. Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective. (2011). Hyde, Stuart ; Guidolin, Massimo.
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3. The Joint Dynamics of Equity Market Factors. (2011). Christoffersen, Peter ; Langlois, Hugues.
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4. Mutual Fund Performance: Measurement and Evidence. (2010). O'Sullivan, Niall ; Cuthbertson, Keith ; Nitzsche, Dirk.
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   RePEc:wly:finmar:v:19:y:2010:i:2:p:95-187.

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5. Portfolio choice under local industry and country factors. (2010). Castro Iragorri, Carlos.
   In: Financial Markets and Portfolio Management.
   RePEc:kap:fmktpm:v:24:y:2010:i:4:p:353-393.

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6. 1/N and long run optimal portfolios: results for mixed asset menus. (2010). Nicodano, Giovanna ; Guidolin, Massimo ; Fugazza, Carolina.
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   RePEc:fip:fedlwp:2010-003.

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7. Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective. (2010). Hyde, Stuart ; Guidolin, Massimo.
   In: Working Papers.
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8. Investment horizon and the attractiveness of investment strategies: A behavioral approach. (2010). Zeisberger, Stefan ; Dierkes, Maik ; Erner, Carsten.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:34:y:2010:i:5:p:1032-1046.

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9. Equilibrium open interest. (2010). Judd, Kenneth ; Leisen, Dietmar P. J., .
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:34:y:2010:i:12:p:2578-2600.

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10. Dynamic Mean-Variance Asset Allocation. (2009). Basak, Suleyman ; Chabakauri, Georgy.
    In: CEPR Discussion Papers.
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11. Portfolio selection with transaction costs under expected shortfall constraints. (2008). Breuer, Thomas ; Jandaka, Martin.
    In: Computational Management Science.
    RePEc:spr:comgts:v:5:y:2008:i:4:p:305-316.

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12. Consumption and Portfolio Choice with Option-Implied State Prices. (2008). Ait-Sahalia, Yacine ; At-Sahalia, Yacine ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13854.

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13. Realized portfolio selection in the euro area. (2008). MORANA, CLAUDIO.
    In: ICER Working Papers - Applied Mathematics Series.
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14. Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.. (2008). Savona, Roberto ; amisano, gianni.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2008881.

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15. Return Predictability under Equilibrium Constraints on the Equity Premium. (2008). Timmermann, Allan ; Pettenuzzo, Davide ; Valkanov, Rossen I..
    In: Working Papers.
    RePEc:brd:wpaper:37.

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16. Optimal Asset Allocation in Asset Liability Management. (2007). van Binsbergen, Jules ; Brandt, Michael W..
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17. Asset allocation under multivariate regime switching. (2007). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:11:p:3503-3544.

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18. Optimal Decentralized Investment Management. (2006). van Binsbergen, Jules ; koijen, ralph ; Ralph S. J. Koijen, ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12144.

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19. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
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20. Investing in mutual funds when returns are predictable. (2005). wermers, russell ; Avramov, Doron.
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21. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence. (2005). Wohar, Mark ; Rapach, David E..
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22. The Myth of Long-Horizon Predictability. (2005). Whitelaw, Robert ; Richardson, Matthew ; Boudoukh, Jacob.
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23. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
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24. The economic value of technical trading rules: a nonparametric utility-based approach. (2005). Lyrio, Marco ; Dewachter, Hans.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:10:y:2005:i:1:p:41-62.

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25. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
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26. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
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27. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (2005). Viceira, Luis ; Chacko, George.
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28. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2005). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W.
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29. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10996.

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30. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability. (2004). Santa-Clara, Pedro ; Goyal, Amit ; Brandt, Michael W. ; Storud, Jonathan.
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31. Dynamic Portfolio Selection by Augmenting the Asset Space. (2004). Santa-Clara, Pedro ; Brandt, Michael W..
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32. One for the Gain, Three for the Loss. (2004). Anderson, Anders E. S., .
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33. Dynamic Portfolio Selection by Augmenting the Asset Space. (2004). Santa-Clara, Pedro ; Brandt, Michael W..
    In: University of California at Los Angeles, Anderson Graduate School of Management.
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34. Optimal Portfolio Allocation Under Higher Moments. (2004). Rockinger, Michael ; Jondeau, Eric.
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35. Evaluating Portfolio Policies: A Duality Approach. (2003). Kogan, Leonid ; Haugh, Martin B. ; Wang, Jiang.
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36. Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors. (2003). Wachter, Jessica ; Sangvinatsos, Antonios.
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37. Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio. (2003). Robotti, Cesare.
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38. Model Uncertainty, Thick Modelling and the Predictability of Stock Returns. (2003). Favero, Carlo ; Aiolfi, Marco.
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39. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation. (2003). Ghysels, Eric ; Pereira, Joo.
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40. Climate policy induced investments in developing countries: the implications of investment risks. (2002). Löschel, Andreas ; Böhringer, Christoph ; Bohringer, Christoph ; Loschel, Andreas.
    In: ZEW Discussion Papers.
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41. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Kang, Qiang ; Brandt, Michael W..
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42. Foreign Currency for Long-Term Investors. (2002). Viceira, Luis ; Campbell, John ; White, Josh S..
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43. Macroeconomic Influences on Optimal Asset Allocation. (2002). Wickens, Michael ; Flavin, Thomas.
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44. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
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45. Asset Allocation in Transition Economies.. (2002). Rockinger, Michael ; Jondeau, Eric.
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46. Decisionmetrics: A Decision-Based Approach to Econometric Modeling. (2001). Skouras, Spyros.
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47. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis .
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48. A Risk Management Approach to Optimal Asset Allocation. (2001). Wickens, Michael ; Flavin, Thomas.
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49. Optimal demand for long-term bonds when returns are predictable. (2001). Gil-Bazo, Javier.
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50. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis .
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