Long Horizon Predictability: An Asset Allocation Perspective

The positive impact of predictability on investors' welfare is stronger for longer prediction and investment horizons. Our results are robust to various checks and also hold out-of-sample. Medium to long term investors should exploit LHP even if they frequently rebalance their portfolios. Link to the article

PONCET, P. and LIOUI, A. (2019). Long Horizon Predictability: An Asset Allocation Perspective. European Journal of Operational Research, 278(3), pp. 961-975.

Keywords : #Finance, #Dynamic-portfolio-decision, #Predictive-regression, #Long-horizon-predictability, #Inter, #temporal-hedging