Long horizon predictability: an asset allocation perspective

DOI10.1016/j.ejor.2019.04.040zbMath1431.91364OpenAlexW3122278505WikidataQ127950925 ScholiaQ127950925MaRDI QIDQ1999642

Patrice Poncet, Abraham Lioui

Publication date: 27 June 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2019.04.040

zbMATH Keywords

financepredictive regressiondynamic portfolio decisioninter-temporal hedginglong horizon predictability

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Long-run risk-return trade-offs
• Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
• Is the predictability of emerging and developed stock markets really exploitable?
• Asset allocation with correlation: a composite trade-off
• The scale of predictability
• A new tight and general bound on return predictability
• Interest rate term structure modelling
• What is the Expected Return on the Market?*

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