This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...

This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...

1. Compound Interest Rate -- 2. The Normal Distribution -- 3. Ordinary Least Squares -- 4. Production Function and TFP -- 5. Profit Rate -- 6. General Equilibrium -- 7. Input Output Analysis -- 8. Break-Even Point -- 9. The Fisher Equation -- 10. Net Present Value -- 11. Income Accounting...

In this paper, we extend the parametric approach of VaR estimation that is based upon the application of two transforms, one for handling skewness and other for kurtosis. These transformations restore normality to data when applied in succession. The transforms are well defined and offer an...