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Using a Bayesian vector autoregression with an uninformative prior we find that parameter uncertainty raises the annualized long\u2010run volatilities of all three asset classes proportionally with the same factor relative to volatilities that are conditional on maximum likelihood parameter estimates. As a result, the horizon effect in optimal asset allocations is much weaker compared to models in which only equity returns are subject to parameter uncertainty. Results are sensitive to alternative informative priors, but generally the term structure of risk for stocks and bonds is relatively flat for investment horizons up to 15\u2009years. Copyright \u00a9 2013 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2331","type":"journal-article","created":{"date-parts":[[2013,5,29]],"date-time":"2013-05-29T07:04:29Z","timestamp":1369811069000},"page":"353-376","source":"Crossref","is-referenced-by-count":16,"title":["STRATEGIC ASSET ALLOCATION FOR LONG\u2010TERM INVESTORS: PARAMETER UNCERTAINTY AND PRIOR INFORMATION"],"prefix":"10.1002","volume":"29","author":[{"given":"Roy P. P. M.","family":"Hoevenaars","sequence":"first","affiliation":[{"name":"Blenheim Capital Management BV  Amsterdam The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Roderick D. 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