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Adding Risks: Some General Results about Time Diversification

We show in general that risky investments become more attractive as the investment horizon (n) lengthens. Specifically, any investor's maximal expected utility directly increases with n, as well as the investor's willingness to allocate more capital to the risky assets if his optimal strategy is bounded by the leverage constraint. <BR><BR>
Year of publication:
2000-07-31
Authors: Lam, Kin ; Zou, Liang
Institutions: Tinbergen Institute
Subject: Time diversification | expected utility | long-term capital allocation
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application/pdf
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Type of publication: Book / Working Paper
Notes:
The text is part of a series Tinbergen Institute Discussion Papers Number 00-063/2
Classification: G11 - Portfolio Choice
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Persistent link: https://www.econbiz.de/10005137377
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