Investment Strategies in Long Investment Horizon. Optimal Investment Portfolio with Respect to the Term Structure of the Risk-Return Tradeoff

      Аннотация: 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.

Ключевые слова: optimal portfolio, Pension Funds, vector autoregressive model, predictability of asset returns