Adding Risks: Some General Results about Time Diversification

We show in general that risky investments become more attractive asthe investment horizon (n) lengthens.Specifically, any investor's maximal expected utility directlyincreases with n, as well as the investor's willingness toallocate more capital to the risky assets if his optimal strategy isbounded by the leverage constraint.

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Year of publication:	2000
Authors:	Lam, Kin ; Zou, Liang
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Betriebliche Investitionstheorie \| Investitionsrisiko \| Zeit \| Theorie \| Time diversification \| expected utility \| long-term capital allocation

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Series:	Tinbergen Institute Discussion Paper ; 00-063/2
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	832872938 [GVK] hdl:10419/85735 [Handle] RePEc:dgr:uvatin:20000063 [RePEc]
Classification:	G11 - Portfolio Choice
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324707