英文文献：Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model-回报可预测性和跨期资产配置:来自偏置调整VAR模型的证据
英文文献作者：Tom Engsted,Thomas Q. Pedersen
英文文献摘要：
We extend the VAR based intertemporal asset allocation approach from Campbell et al. (2003) to the case where the VAR parameter estimates are adjusted for small-sample bias. We apply the analytical bias formula from Pope (1990) using both Campbell et al.'s dataset, and an extended dataset with quarterly data from 1952 to 2006. The results show that correcting the VAR parameters for small-sample bias has both quantitatively and qualitatively important e¤ects on the strategic intertemporal part of optimal portfolio choice, especially for bonds: for intermediate values of risk-aversion, the intertemporal hedging demand for bonds - and thereby the total demand for bonds - is strongly reduced by the bias-adjustment. We also investigate the robustness of the results by changing the lag-length and one of the state variables of the VAR.

我们将Campbell等人(2003)的基于VAR的跨期资产配置方法扩展到VAR参数估计为小样本偏差进行调整的情况。我们使用了Pope(1990)的分析偏差公式，使用了Campbell等人的数据集，以及从1952年到2006年的季度数据的扩展数据集。结果表明,纠正小偏差的VAR参数定量和定性重要e¤敬重战略跨时期的最优投资组合选择的一部分,尤其是对债券:风险规避的中间值,债券需求的跨时期的对冲,从而总需求对债券——强烈降低bias-adjustment。我们还通过改变VAR的滞后长度和其中一个状态变量来研究结果的稳健性。