Online Appendix for 'Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation'

Abstract

This online appendix provides additional results in support of the analysis presented in the above-mentioned paper. First, we provide details on how we simulate from the posterior and predictive distributions for both the uniform and shrinkage prior. Second, we explain the numerical method we use to calculate optimal portfolios and show that it is both efficient and accurate. Third, we provide additional robustness checks.The paper 'Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation' to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=1107840