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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.

www.sciencedirect.com/science/article/abs/pii/s0167668720300299?via%3dihub
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Earnings-by-price-double-benchmark.R

Earnings-by-price-double-benchmark.R

 
 

Figure1 - historical returns in excess of inflation and transformed earnings for S&P 500 (1872 − 2018).pdf

Figure1 - historical returns in excess of inflation and transformed earnings for S&P 500 (1872 − 2018).pdf

 
 

Figure2 - behaviour of intertemporal hedging functions b1 and b2.pdf

Figure2 - behaviour of intertemporal hedging functions b1 and b2.pdf

 
 

Figure3 - proportion of optimal wealth in risky stocks - real earnings targeting real returns.pdf

Figure3 - proportion of optimal wealth in risky stocks - real earnings targeting real returns.pdf

 
 

Figure4 - historical performance of strategies - real earnings targeting real returns.pdf

Figure4 - historical performance of strategies - real earnings targeting real returns.pdf

 
 

Figure5 - sensitivity analysis - Dynamic Merton vs. Optimal Nonmyopic - real earnings targeting real returns.pdf

Figure5 - sensitivity analysis - Dynamic Merton vs. Optimal Nonmyopic - real earnings targeting real returns.pdf

 
 

MarketPriceofRisk.png

MarketPriceofRisk.png

 
 

Performance-of-investment-strategies.R

Performance-of-investment-strategies.R

 
 

Shiller_data.csv

Shiller_data.csv

 
 

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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.

www.sciencedirect.com/science/article/abs/pii/S0167668720300299?via%3Dihub

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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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