Online Appendix for 'Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation'

32 Pages Posted: 17 Dec 2011 Last revised: 6 Feb 2014

See all articles by Bart F. Diris

Bart F. Diris

Erasmus University Rotterdam (EUR) - Department of Econometrics; Netspar

Franz C. Palm

University of Maastricht - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Peter C. Schotman

Maastricht University - Department of Finance

Date Written: February 5, 2014

Abstract

This online appendix provides additional results in support of the analysis presented in the above-mentioned paper. First, we provide details on how we simulate from the posterior and predictive distributions for both the uniform and shrinkage prior. Second, we explain the numerical method we use to calculate optimal portfolios and show that it is both efficient and accurate. Third, we provide additional robustness checks.

The paper 'Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation' to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=1107840

Suggested Citation

Diris, Bart Franciscus and Palm, Franz C. and Schotman, Peter C., Online Appendix for 'Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation' (February 5, 2014). Available at SSRN: https://ssrn.com/abstract=1973648 or http://dx.doi.org/10.2139/ssrn.1973648

Bart Franciscus Diris (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Econometrics ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Netspar ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

Franz C. Palm

University of Maastricht - Department of Economics ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31-(0)43-3883833 (Phone)
+31-(0)43-3258535 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.cesifo.de

Peter C. Schotman

Maastricht University - Department of Finance ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 388 3862 (Phone)
+31 43 388 4875 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
187
Abstract Views
1,012
rank
196,473
PlumX Metrics