IME-published article on Long-term Real Dynamic Investment Planning. While we enhance predictability of the real returns of S&P500 Index, we derive optimal non-myopic investment strategy, and we compare its performance with near-optimal Dynamic and Constant Merton investment strategies.
econometrics
parameter-estimation
quantitative-finance
sensitivity-analysis
investment-strategies
sp500-data-analysis
ornstein-uhlenbeck-process
real-returns-prediction
nonmyopic-investment-strategies
dynamic-merton
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Updated
Jan 14, 2023 - R