Hansen (2011) considers risks associated with cash flows at alternative horizons. He shows that in the long run many investor preference specifications do not imply risk premia substantially different from those implied by simple expected utility model. The main result of this paper is that the...

This paper explores the implications of asset return predictability on long-term portfolio choice when return forecasting variables exhibit long memory. We model long memory using the class of fractionally integrated time series models. Important predictor variables for U.S. data, like the...