Student or educator? Sign up with your school email and get 6 months of Pro free.
CoChat
Sign Up
Cited by 409

The DOI matches its Crossref record; 73 of the 73 references it cites were found in a registry or an index.

Variable Selection for Portfolio Choice

Open access
AÏT‐SAHALI, Yacine, Brandt, Michael W.·2001·The Journal of Finance
DOI 10.1111/0022-1082.00369
Open this paper in CoChat — free account

Abstract

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 choice, we determine directly the dependence of the optimal portfolio weights on the predictive variables. We combine the predictors into a single index that best captures time variations in investment opportunities. This index helps investors determine which economic variables they should track and, more importantly, in what combination. We consider investors with both expected utility (mean variance and CRRA) and nonexpected utility (ambiguity aversion and prospect theory) objectives and characterize their market timing, horizon effects, and hedging demands.

Overview

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Integrity signals

Registry

Crossref · 10.1111/0022-1082.00369

Cites

73 of 73 references verified0 citation errors · 0 not checkable

Statistics

Verification

Claims the paper makes

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Self-check

Percentages, sums and reported differences re-computed from the paper’s own numbers.

The self-check needs the paper’s full text.

Citations

Cites

Show all 73 references

Cited by

See all 409

Metadata

Authors
AÏT‐SAHALI, Y., & Brandt, M. W.
Venue
The Journal of Finance
Publisher
Wiley
Published
2001-08
Volume
56
Issue
4
Pages
1297-1351
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/0022-1082.00369
OpenAlex
W3123994138
Cited by
409
References
73
FWCI
39.07
Type
journal article
Language
en
Open access
bronze

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review

How to cite

Cite CoChat for the checks on this page, and the paper for its own findings.

This page
CoChat. (2026). Citation check: Variable Selection for Portfolio Choice. https://app.cochat.ai/papers/10.1111/0022-1082.00369
The paper
AÏT‐SAHALI, Y., & Brandt, M. W. (2001). Variable Selection for Portfolio Choice. The Journal of Finance. https://doi.org/10.1111/0022-1082.00369

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.