Hedge funds are dynamic, versatile, opaque, and, according to BarclayHedge, their assets under management have nearly doubled from $2.6 trillion in 2015 to $4.9 trillion in 2021. In the recent decade, whether hedge funds have delivered superior performance is in debate. Researchers conclude...

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...