Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259852 
Year of Publication: 
2002
Series/Report no.: 
Working Paper No. 2001:16
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
This paper introduces a new non-parametric approach to integrate empirical probability functions of the real return for different investment horizons for five portfolios of Swedish stocks and bonds. In our setting the problem reduces to generating new generalizations from an empirical Markov chain. We find that the stocks yield a real return of about 7.5% and bonds about 3.0%. Our results suggest that an investor ought to avoid bonds in the long run. Finally if the investors goal is to minimize the risk of capital destruction the preferable long-run passive portfolio is a mix of bonds and stocks.
Subjects: 
Empirical distribution
stock returns
bond returns
real return
markovian bootstrap
MCMC
JEL: 
C11
C15
G10
G11
Document Type: 
Working Paper

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