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Persistent link: https://www.econbiz.de/10009666666
We evaluate predictive regressions that explicitly consider the time-variation of coefficients in a comprehensive Bayesian framework. For monthly returns of the S&P 500 index, we demonstrate statistical as well as economic evidence of out-of-sample predictability: relative to an investor using...
Persistent link: https://www.econbiz.de/10013133802
Persistent link: https://www.econbiz.de/10012244217
We study the implications of predictability on the optimal asset allocation of ambiguity-averse long-term investors and analyze the term structure of the multivariate risk-return trade-off considering parameter uncertainty. We calibrate the model to real returns of US stocks, long-term bonds,...
Persistent link: https://www.econbiz.de/10012935089