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Cointegration and long-run asset allocation
Ravi Bansal,
Dana Kiku
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peer-review
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Business & Economics
Error Correction
87%
Asset Allocation
61%
Optimal Portfolio
45%
Investment Horizon
34%
Expected Returns
28%
Cash Flow
23%
Optimal Asset Allocation
19%
Parameter Uncertainty
18%
Aggregate Consumption
18%
Risk-return
15%
Dividends
12%
Short-run
10%
Assets
8%
Economics
7%
Mathematics
Vector Autoregression
65%
Optimal Portfolio
61%
Horizon
59%
Forecast
33%
Parameter Uncertainty
18%
Optimal Allocation
18%
Deviation
12%
Economics
12%
Profile
12%
Term
7%
Model
4%
Social Sciences
assets
48%
uncertainty
8%
trend
5%
economics
4%