Arbeitspapier
Long-Term versus Short-Term Contingencies in Asset Allocation
We determine the importance of long-term and short-term components of state variables for asset allocation decisions. The long-term and short-term decompositions are performed using a variety of filtering techniques. We allow for a flexible semiparametric form of the dependence of asset allocation decisions on state variable components. To account for short-sale restrictions, we extend the regular GMM moment conditions with the appropriate Lagrange-Kuhn-Tucker multipliers. Empirically, we find that investors can benefit from reacting differently to short-term versus long-term dynamics of state variables. The induced allocation decisions are implemented in an investment backtest. We find significant improvements in terms of out-of-sample Sharpe ratios and expected utilities for state variables such as the dividend yield and stock market trend.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 12-053/2/DSF34
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Thema
-
Portfolio choice
long and short-term asset allocation
trend-cycle decomposition
GMM under short-sale constraints
Portfolio-Management
Momentenmethode
Nichtparametrisches Verfahren
Dekompositionsverfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Botshekan, Mahmoud
Lucas, Andre
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Botshekan, Mahmoud
- Lucas, Andre
- Tinbergen Institute
Entstanden
- 2012
Ähnliche Objekte (12)
Long-term asset allocation
Long-Term Asset Allocation
Strategic asset allocation: Portfolio choice for long-term investors
Short-term decisions under long-term uncertainty
Long-term consequences of short-term fellowships
Long-term consequences of short-term fellowships
Asset Allocation
Asset Allocation
Decomposing short-term return reversal
Handbook of short-term psychotherapy
Determinants of Short-Term Debt
Determinants of short-term debt
Long-term asset allocation
Long-Term Asset Allocation
Strategic asset allocation: Portfolio choice for long-term investors
Short-term decisions under long-term uncertainty
Long-term consequences of short-term fellowships
Long-term consequences of short-term fellowships
Asset Allocation
Asset Allocation
Decomposing short-term return reversal
Handbook of short-term psychotherapy
Determinants of Short-Term Debt
Determinants of short-term debt
Long-term asset allocation
Long-Term Asset Allocation
Strategic asset allocation: Portfolio choice for long-term investors
Short-term decisions under long-term uncertainty
Long-term consequences of short-term fellowships
Long-term consequences of short-term fellowships
Asset Allocation
Asset Allocation
Decomposing short-term return reversal
Handbook of short-term psychotherapy
Determinants of Short-Term Debt