Guidolin, Massimo; Hyde, Stuart - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3546-3566
In a typical strategic asset allocation problem, the out-of-sample certainty equivalent returns for a long-horizon investor with constant relative risk aversion computed from a range of vector autoregressions (VARs) are compared with those from nonlinear models that account for bull and bear...