Asset Accumulation with Estimated Low Frequency Movements of Asset Returns

Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane
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Chih-Ying Hsiao: University of Technology

Chapter Chapter 5 in Sustainable Asset Accumulation and Dynamic Portfolio Decisions, 2016, pp 81-96 from Springer

Abstract: Abstract As discussed in Chap. 2 academic research on asset returns seems to converge toward the view that a proper formation of expected asset returns are essential for saving and asset allocation decisions. As also shown in Chap. 4 the use of time varying asset returns, following low frequency movements, appears to be quite suitable for the purpose of such decisions. In this chapter harmonic estimations are used to estimate low frequency movements of time series data on asset returns. We employ U.S. data sets and undertake a harmonic fitting of the actual time series data.

Keywords: Discount Rate; Risk Aversion; Risky Asset; Labor Income; Asset Return (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-662-49229-1_5

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DOI: 10.1007/978-3-662-49229-1_5

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