Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns
MW Brandt, P Santa-Clara… - The Review of Financial …, 2009 - academic.oup.com
We propose a novel approach to optimizing portfolios with large numbers of assets. We model
directly the portfolio weight in each asset as a function of the asset's characteristics. The …
directly the portfolio weight in each asset as a function of the asset's characteristics. The …
Price discovery in the US Treasury market: The impact of orderflow and liquidity on the yield curve
MW Brandt, KA Kavajecz - The Journal of Finance, 2004 - Wiley Online Library
We examine the role of price discovery in the US Treasury market through the empirical
relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (…
relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (…
Portfolio choice problems
MW Brandt - Handbook of financial econometrics: Tools and …, 2010 - Elsevier
Publisher Summary This chapter focuses on the econometric treatment of portfolio choice
problems. The goal is to describe, discuss, and illustrate through examples the different …
problems. The goal is to describe, discuss, and illustrate through examples the different …
Dynamic portfolio selection by augmenting the asset space
MW Brandt, P Santa‐Clara - The journal of Finance, 2006 - Wiley Online Library
We present a novel approach to dynamic portfolio selection that is as easy to implement as
the static Markowitz paradigm. We expand the set of assets to include mechanically …
the static Markowitz paradigm. We expand the set of assets to include mechanically …
Variable selection for portfolio choice
Y Aīt‐sahali, MW Brandt - The Journal of Finance, 2001 - Wiley Online Library
We study asset allocation when the conditional moments of returns are partly predictable.
Rather than first model the return distribution and subsequently characterize the portfolio …
Rather than first model the return distribution and subsequently characterize the portfolio …
Range‐based estimation of stochastic volatility models
S Alizadeh, MW Brandt, FX Diebold - The Journal of Finance, 2002 - Wiley Online Library
We propose using the price range in the estimation of stochastic volatility models. We show
theoretically, numerically, and empirically that range‐based volatility proxies are not only …
theoretically, numerically, and empirically that range‐based volatility proxies are not only …
The effect of macroeconomic news on beliefs and preferences: Evidence from the options market
A Beber, MW Brandt - Journal of Monetary Economics, 2006 - Elsevier
We examine the effect of regularly scheduled macroeconomic announcements on the
beliefs and preferences of participants in the US Treasury market by comparing the option-implied …
beliefs and preferences of participants in the US Treasury market by comparing the option-implied …
[PDF][PDF] Attenuated cold sensitivity in TRPM8 null mice
…, Y Wang, D Lawrence, MR D'Andrea, MR Brandt… - Neuron, 2007 - cell.com
Thermosensation is an essential sensory function that is subserved by a variety of transducer
molecules, including those from the Transient Receptor Potential (TRP) ion channel …
molecules, including those from the Transient Receptor Potential (TRP) ion channel …
Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market
A Beber, MW Brandt, KA Kavajecz - The Review of Financial …, 2009 - academic.oup.com
Do bond investors demand credit quality or liquidity? The answer is both, but at different
times and for different reasons. Using data on the Euro-area government bond market, which …
times and for different reasons. Using data on the Euro-area government bond market, which …
Estimating portfolio and consumption choice: A conditional Euler equations approach
MW Brandt - The Journal of Finance, 1999 - Wiley Online Library
This paper develops a nonparametric approach to examine how portfolio and consumption
choice depends on variables that forecast time‐varying investment opportunities. I estimate …
choice depends on variables that forecast time‐varying investment opportunities. I estimate …