- Out-of-Stock
Long-term Portfolio Allocation Based on Long-term Macro Forecasts [extrait BMI 134]
- Write a review
€50.00
Tax included
Version numérique PDF
We first discuss arguments that rebut quantitative portfolio allocation for the long term based on non predictability of asset markets. Next, we find that over long time horizon such as 10 years, macro-economic forecasts of various economic variables outperform in terms of meansquarederrors those obtained with purely statistical techniques. We discuss the components needed to model liability returns and empirically demonstrate that a) portfolio allocations taking into account pension fund hedging demand substantially differ from traditional asset allocationsthat b) in terms of certainty equivalent, there is a large cost if one neglects liabilities. The utility cost of using suboptimal strategies amounts to several percent returns essentially due to deterioration of volatility. The cost of imposing positive weights on asset-liability management allocations is also economically significant.JEL Codes: C51; C53; C61; G11; J32.Keywords: Stock Returns; Predictability; Pension Fund; Portfolio Choice.Auteurs :Jondeau Éric
Extrait de la revue BMI 134
BMI134-1120818
New
16 other products in the same category:
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Ownership Concentration, Board Structure and Credit Risk: The Case of MENA Banks
- Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater
- Mass Customization in Life-Cycle Investing Strategies with Income Risk
Focus On
- Currency Turmoil in an Unbalanced World Economy
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Could French and Eurozone Savers Invest More in Risky Assets?
- Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation
- Robust Portfolio Protection: A Scenarios-based Approach
Focus On
- Financial Regulations and Procyclicality
Availability: Out of stock
Availability: Out of stock
Can Large Long-term Investors Capture Illiquidity Premiums?
- Long-term Portfolio Allocation Based on Long-term Macro Forecasts
- Projecting Pension Outcomes at Retirement – Towards an Industry Reporting Standard
- Economic-financial Literacy and (Sustainable) Pension Reforms:
- Cyclicality and Term Structure of Value-at-Risk within a Threshold Autoregression Setup
![Editorial [extrait BMI 134]](https://eska-publishing.com/10912-home_default/editorial-extrait-bmi-134-.jpg)
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing
- Conflict of Interest between Investors and Financial Advisers
- Reforming the Structures of the EU Banking Sector: Risks and Challenges
- Managerial Myopia: Do Managers Privilege Short-term Decisions or Value Creation?