On the structural estimation of an optimal portfolio rule

Pablo Castaneda () and Benjamín Devoto

Finance Research Letters, 2016, vol. 16, issue C, 290-300

Abstract: We adopt a structural approach to estimate the parameters of the optimal asset allocation rule dictated by a standard dynamic portfolio choice problem. In doing so, we propose two novel approaches to estimates the preference/incentive parameters of the model.

Keywords: Benchmark portfolio; Portfolio choice; Relative performance concerns (search for similar items in EconPapers)
JEL-codes: D81 G11 G18 H55 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:16:y:2016:i:c:p:290-300

DOI: 10.1016/j.frl.2015.12.012

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