Abstract:We examine the ex-post performance of optimal portfolios with predictable returns, when the investor horizon ranges from one month to ten years. Due to the investor's ability to forecast shifts between bull and bear markets, predictability involves the risk premium, volatility and correlations, and may extend to third and fourth moments. We analyze three different equity portfolios data sets, each covering more than eight indexes, including commonly used US Industry and International Book-to-Market portfolios.… Show more
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