This paper considers a U.S. institutional investor who is implementing a long-term portfolio allocation using forecasts of financial returns. We compare the predictive performance of two competing macro-finance models ---an unrestricted Vector AutoRegression (VAR) and a fully-structural Dynamic Stochastic General Equilibrium (DSGE) model--- for horizons up to 15 years. Although the performances are similar for short horizons, the DSGE model outperforms the VAR at forecasting financial returns in the long term. This model also generates substantially higher Sharpe ratios. Although it contains fewer unknown parameters, it benefits from economically grounded restrictions that help anchor financial returns in the long term
During the past two decades, dynamic stochastic general equilibrium (DSGE) models have taken center ...
In the empirical portfolio choice literature it is often invoked that through the choice of predicto...
<p>In this article, we investigate whether or not the volatility per period of stocks is lower over ...
This paper considers an institutional investor who is implementing a long-term portfolio allocation ...
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing awarene...
This paper proposes a structural approach to long-horizon asset allocation. In particular, the inves...
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing awarene...
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing awarene...
Available online 22 July 2016In the dynamic stochastic general equilibrium (DSGE) literature there h...
Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeco...
Recently there has been an increasing awareness on the role that the banking sector can play in macr...
This study compares the equity allocation model relative to the more popular PE, Shiller CAPE, yield...
Recently, it has been suggested that macroeconomic forecasts from esti-mated DSGE models tend to be ...
Recently, it has been suggested that macroeconomic forecasts from estimated dynamic stochastic gener...
It is often suggested that through a judicious choice of predictors that track business cycles and m...
During the past two decades, dynamic stochastic general equilibrium (DSGE) models have taken center ...
In the empirical portfolio choice literature it is often invoked that through the choice of predicto...
<p>In this article, we investigate whether or not the volatility per period of stocks is lower over ...
This paper considers an institutional investor who is implementing a long-term portfolio allocation ...
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing awarene...
This paper proposes a structural approach to long-horizon asset allocation. In particular, the inves...
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing awarene...
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing awarene...
Available online 22 July 2016In the dynamic stochastic general equilibrium (DSGE) literature there h...
Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeco...
Recently there has been an increasing awareness on the role that the banking sector can play in macr...
This study compares the equity allocation model relative to the more popular PE, Shiller CAPE, yield...
Recently, it has been suggested that macroeconomic forecasts from esti-mated DSGE models tend to be ...
Recently, it has been suggested that macroeconomic forecasts from estimated dynamic stochastic gener...
It is often suggested that through a judicious choice of predictors that track business cycles and m...
During the past two decades, dynamic stochastic general equilibrium (DSGE) models have taken center ...
In the empirical portfolio choice literature it is often invoked that through the choice of predicto...
<p>In this article, we investigate whether or not the volatility per period of stocks is lower over ...