Constructing portfolio using Jurek and Viceira

In this paper we investigate whether the portfolio policy creating method, called the Jurek & Viceira method, performs optimal. We calculate optimal portfolio weights for investors with long investment horizons with this method. Particularly, our aim is to find how optimal this method performs for longer horizons. We construct different scenarios concerning different risk aversion levels, horizons and different combinations of state variables. The performance of this method is measured using several benchmarks, including the out-of-sample performance of the Jurek & Vi- ceira method. Using these benchmarks and the results of these, we find that the Jurek & Viciera method does not perform optimal for investors with long investment horizons.