Referring to the retirement example in Example 12.7, rerun the model for a planning horizon of 10 years; 15 years; 25 years. For each, try to find the set of investment weights that maximize the VAR (the 5th percentile) of final cash in today’s dollars. Does it appear that a portfolio heavy in stocks is better for long horizons but not for shorter horizons?
Already registered? Login
Not Account? Sign up
Enter your email address to reset your password
Back to Login? Click here