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:	2000-07-31
Authors:	Lam, Kin ; Zou, Liang
Institutions:	Tinbergen Instituut
Subject:	Time diversification \| expected utility \| long-term capital allocation

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
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
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011255554