Strategic asset allocation. The effect of uncertainty on portfolio choice

  • Bart Diris Bart Diris

The main objective of this thesis is to investigate whether the promises of the (longterm) strategic asset allocation literature hold in settings that include parameter uncertainty, model uncertainty and model instability. A side objective is to analyze whether we can sort thousands of stocks in robust myopic portfolios with high expected returns and low risk.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.

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