Long-Term Portfolio Management with a Structural Macroeconomic Model

Ludovic Calès, Eric Jondeau and Michael Rockinger ()

No 13-45, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: The aim of this paper is to investigate long-term portfolio management in a fully structural macro-financial framework. First, we estimate a Dynamic Stochastic General Equilibrium (DSGE) model that describes the dynamic of the US economy and financial markets. In addition to the typical macro-economic variables, the model includes financial variables such as firm market values, dividend payments, and long-term government bond returns. The model provides us with long-term forecasts of key variables, which are used for the dynamic asset allocation of long-horizon investors. We show that the DSGE model outperforms an unrestricted VAR model in long-term portfolio allocation.

Keywords: Long-Term Asset Management; Dynamic Allocation; Pension Fund; DSGE Model (search for similar items in EconPapers)
JEL-codes: C53 C68 G11 G12 G17 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2013-09
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1345

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