GitHub - VodickaPeter/Long-term-Real-Dynamic-Investment-Planning-IME: 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.

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

Notifications You must be signed in to change notification settings
Fork 0
Star 3

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.

www.sciencedirect.com/science/article/abs/pii/S0167668720300299?via%3Dihub

3 stars 0 forks Branches Tags Activity

Star

Notifications

Branches Tags

Name		Name	Last commit message	Last commit date
Latest commit History 39 Commits
DDI		DDI
DI		DI
DS		DS
ES		ES
Earnings-by-price-double-benchmark.R		Earnings-by-price-double-benchmark.R
Figure1 - historical returns in excess of inflation and transformed earnings for S&P 500 (1872 − 2018).pdf		Figure1 - historical returns in excess of inflation and transformed earnings for S&P 500 (1872 − 2018).pdf
Figure2 - behaviour of intertemporal hedging functions b1 and b2.pdf		Figure2 - behaviour of intertemporal hedging functions b1 and b2.pdf
Figure3 - proportion of optimal wealth in risky stocks - real earnings targeting real returns.pdf		Figure3 - proportion of optimal wealth in risky stocks - real earnings targeting real returns.pdf
Figure4 - historical performance of strategies - real earnings targeting real returns.pdf		Figure4 - historical performance of strategies - real earnings targeting real returns.pdf
Figure5 - sensitivity analysis - Dynamic Merton vs. Optimal Nonmyopic - real earnings targeting real returns.pdf		Figure5 - sensitivity analysis - Dynamic Merton vs. Optimal Nonmyopic - real earnings targeting real returns.pdf
MarketPriceofRisk.png		MarketPriceofRisk.png
Performance-of-investment-strategies.R		Performance-of-investment-strategies.R
Shiller_data.csv		Shiller_data.csv