Long-term real dynamic investment planning
| Autor: | Peter Vodička, Munir Hiabu, Jens Perch Nielsen, Russell Gerrard |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Inflation Real income Economics and Econometrics HF 050208 finance Investment strategy media_common.quotation_subject HB 05 social sciences Investment (macroeconomics) 01 natural sciences Term (time) 010104 statistics & probability Need to know 0502 economics and business Econometrics Financial analysis Economics 0101 mathematics Statistics Probability and Uncertainty Predictability media_common |
| Zdroj: | Insurance: Mathematics and Economics. 92:90-103 |
| ISSN: | 0167-6687 |
| DOI: | 10.1016/j.insmatheco.2020.03.002 |
| Popis: | When long-term savers plan for retirement they need to know their investment prospects in terms of real income (Merton, 2014). While inflation has traditionally been considered as a complication in financial analysis and financial practise, we obtain enhanced predictability and model fit if the real returns are targeted in conjunction with earnings-by-price minus inflation as predictor. For this latter case, we propose an investment strategy of updating the simple classical Merton proportion as we go along. This simple strategy is very close to the complicated theoretically optimal solution but has comparably much lower parameter uncertainty. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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