Bookcover of Investment Strategies in Long Investment Horizon
Booktitle:

Investment Strategies in Long Investment Horizon

Optimal Investment Portfolio with Respect to the Term Structure of the Risk-Return Tradeoff

LAP LAMBERT Academic Publishing (2015-06-16 )

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ISBN-13:

978-3-659-74473-0

ISBN-10:
3659744735
EAN:
9783659744730
Book language:
English
Blurb/Shorttext:
The main topic of the book is the analysis of investment strategies in long investment horizon. The book compares short-term and long-term properties of assets, showing that changes in investment opportunities can alter the risk-return tradeoff over time and that asset return predictability has an important effect on the variance and correlation structure of returns on assets across investment horizons. The main attention is given to pension funds, which are institutional investors with relatively long investment horizon. The optimal investment strategies are constructed for various levels of risk tolerance and the results are compared with strategies of Czech pension funds that apply due to regulatory requirements rather conservative investment strategies minimizing the risk.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Matěj Urban
Number of pages:
100
Published on:
2015-06-16
Stock:
Available
Category:
Economics
Price:
54.90 €
Keywords:
optimal portfolio, Pension Funds, vector autoregressive model, predictability of asset returns

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