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dynamic-merton

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VodickaPeter / Long-term-Real-Dynamic-Investment-Planning-IME

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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.

econometrics parameter-estimation quantitative-finance sensitivity-analysis investment-strategies sp500-data-analysis ornstein-uhlenbeck-process real-returns-prediction nonmyopic-investment-strategies dynamic-merton
  • Updated Jan 14, 2023
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