Long-term Portfolio Allocation Based on Long-term Macro Forecasts

Détails

ID Serval
serval:BIB_B63100E862AF
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Long-term Portfolio Allocation Based on Long-term Macro Forecasts
Périodique
Bankers, Markets & Investors
Auteur(s)
Jondeau E., Rockinger M.
Statut éditorial
Publié
Date de publication
2015
Numéro
134
Pages
62-69
Langue
anglais
Résumé
We first discuss arguments that rebut quantitative portfolio allocation for the long term based on non predictability of asset markets. Next, we find that over long time horizon such as 10 years, macro-economic forecasts of various economic variables outperform in terms of meansquared
errors those obtained with purely statistical techniques. We discuss the components needed to model liability returns and empirically demonstrate that a) portfolio allocations taking into account pension fund hedging demand substantially differ from traditional asset allocations
that b) in terms of certainty equivalent, there is a large cost if one neglects liabilities. The utility cost of using suboptimal strategies amounts to several percent returns essentially due to deterioration of volatility. The cost of imposing positive weights on asset-liability management allocations is also economically significant.
Mots-clé
Stock Returns, Predictability, Pension Fund, Portfolio Choice
Création de la notice
05/05/2017 11:52
Dernière modification de la notice
21/08/2019 6:12
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