Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation
Published Online:11 Jul 2014https://doi.org/10.1287/mnsc.2014.1924
References
- (2002) Stock return predictability and model uncertainty. J. Financial Econom. 64:423–458.Crossref, Google Scholar
- (2000) Investing for the long run when returns are predictable. J. Finance 55:225–264.Crossref, Google Scholar
- (1992) Global portfolio optimization. Financial Analyst J. 48:28–43.Crossref, Google Scholar
- (2010) Portfolio choice problems. Aït-Sahalia Y, Hansen LP, eds. Handbook of Financial Econometrics, Volume 1: Tools and Techniques (North-Holland, Amsterdam), 269–336.Crossref, Google Scholar
- (2005) A simulation approach to dynamic portfolio choice with an application to learning about return predictability. Rev. Financial Stud. 18:831–873.Crossref, Google Scholar
- (2010) Discrete-time implementation of continuous-time portfolio strategies. Eur. J. Finance 16:137–152.Crossref, Google Scholar
- (2013) Robust portfolio choice with ambiguity and learning about return predictability. J. Banking Finance 37:1397–1411.Crossref, Google Scholar
- (2002) Dynamic asset allocation under inflation. J. Finance 57:1201–1238.Crossref, Google Scholar
- (1997) Strategic asset allocation. J. Econom. Dynam. Control 21:1377–1403.Crossref, Google Scholar
- (2008) Predicting excess stock returns out of sample: Can anything beat the historical average? Rev. Financial Stud. 21:1509–1531.Crossref, Google Scholar
- (2002) Strategic Asset Allocation (Oxford University Press, New York).Crossref, Google Scholar
- (2003) A multivariate model of strategic asset allocation. J. Financial Econom. 67:41–80.Crossref, Google Scholar
- (2001) Stock market mean reversion and the optimal equity allocation of a long-lived investor. Eur. Finance Rev. 5:269–292.Crossref, Google Scholar
- (2005) Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets. Rev. Financial Stud. 18:1369–1402.Crossref, Google Scholar
- (2002) Stock return predictability: A Bayesian model selection perspective. Rev. Financial Stud. 15:1223–1249.Crossref, Google Scholar
- (2012) Predictive regressions with time-varying coefficients. J. Financial Econom. 106:157–181.Crossref, Google Scholar
- (2005) How inefficient is the 1/N asset-allocation strategy? Working paper, London Business School, London. http://ssrn.com/abstract=785164.Google Scholar
- (2009) Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? Rev. Financial Stud. 22:1915–1953.Crossref, Google Scholar
- (1995) Comparing predictive accuracy. J. Bus. Econom. Statist. 13:253–263.Crossref, Google Scholar
- (1984) Forecasting and conditional projection using realistic prior distributions. Econometric Rev. 3:1–100.Crossref, Google Scholar
- (2012) Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model. J. Empirical Finance 19:241–253.Crossref, Google Scholar
- (1976) Forward rates as predictors of future spot rates. J. Financial Econom. 3:361–377.Crossref, Google Scholar
- (1977) Asset returns and inflation. J. Financial Econom. 5:115–146.Crossref, Google Scholar
- (2008) A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. 21:1455–1508.Crossref, Google Scholar
- (2014) Sequential learning, predictability, and optimal portfolio returns. J. Finance 69:611–644.Crossref, Google Scholar
- (1986) Bayes-Stein estimation for portfolio analysis. J. Financial Quant. Anal. 21:279–292.Crossref, Google Scholar
- (2011) Optimal value and growth tilts in long-horizon portfolios. Rev. Finance 15:29–74.Crossref, Google Scholar
- (2010) When can life-cycle investors benefit from time-varying bond risk premia. Rev. Financial Stud. 23:741–780.Crossref, Google Scholar
- (2009) Momentum and mean-reversion in strategic asset allocation. Management Sci. 55:1199–1213.Link, Google Scholar
- (2012) The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts. J. Econom. Dynam. Control 36:266–293.Crossref, Google Scholar
- (2001) Portfolio choice and equity characteristics: Characterizing the hedging demands induced by return predictability. J. Financial Econom. 62:67–130.Crossref, Google Scholar
- (1969) Lifetime portfolio selection under uncertainty: The continuous time case. Rev. Econom. Statist. 51:247–257.Crossref, Google Scholar
- (1971) Optimal consumption and portfolio rules in a continuous-time model. J. Econom. Theory 3:373–413.Crossref, Google Scholar
- (1980) On estimating the expected return on the market: An exploratory investigation. J. Financial Econom. 8:323–361.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703–708.Crossref, Google Scholar
- (1994) Automatic lag selection in covariance matrix estimation. Rev. Econom. Stud. 61:631–653.Crossref, Google Scholar
- (2003) Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models. J. Econometrics 115:159–197.Crossref, Google Scholar
- (2000) Comparing asset pricing models: An investment perspective. J. Financial Econom. 56:335–381.Crossref, Google Scholar
- (2012) Are stocks really less volatile in the long run? J. Finance 67:431–478.Crossref, Google Scholar
- (1995) Predictability of stock returns: Robustness and economic significance. J. Finance 50:1201–1228.Crossref, Google Scholar
- (2011) Predictability of stock returns and asset allocation under structural breaks. J. Econometrics 164:60–78.Crossref, Google Scholar
- (2009) Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence. J. Internat. Money Finance 28:427–453.Crossref, Google Scholar
- (2005) Does the failure of the expectations hypothesis matter for long-term investors? J. Finance 60:179–230.Crossref, Google Scholar
- (1991) Understanding unit rooters: A helicopter view. Econometrica 59:1591–1599.Crossref, Google Scholar
- (2008) Dynamic portfolio choice with Bayesian learning. Working paper, University of Maryland, College Park.Crossref, Google Scholar
- (1999) Predictive regressions. J. Financial Econom. 54:375–421.Crossref, Google Scholar
- (2007) Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function. Computational Econom. 29:355–367.Crossref, Google Scholar
- (2009) Predictable returns and asset allocation: Should a skeptical investor time the market? J. Econometrics 148:162–178.Crossref, Google Scholar
- (2001) Learning about predictability: The effect of parameter uncertainty on dynamic asset allocation. J. Finance 56:205–246.Crossref, Google Scholar
- (1971) An Introduction to Bayesian Inference in Econometrics (John Wiley & Sons, New York).Google Scholar

