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Risky Asset Holdings and the Investment Horizon: Empirical Findings

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  • Amaresh Das

    ()
    (Page No. College of BusinessSouthern University at New OrleansNew Orleans, LA 70126)

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    Abstract

    The paper econometricallyestimate investors‘ optimal portfolios are independent of their investmenthorizon. When ex ante diversification is investigated there appears to be no evidence of increased demand for equity over a longer investment horizons in India. That is, in India we obtain a flat equity profile over the investment horizons.Therefore, the mean-aversion in fixed-income explains the time diversification effect. The results also indicatethat cross- correlation amongst asset returns do not seem to playany role in time diversification either.

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    Bibliographic Info

    Article provided by Asian Economic and Social Society in its journal Asian Journal of Empirical Research.

    Volume (Year): 2 (2012)
    Issue (Month): 2 (June)
    Pages: 20-27

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    Handle: RePEc:asi:ajoerj:2012:p:20-27

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    Related research

    Keywords: Stochastic dominance; Vector Autoregressive (VAR) representation; Sharpe ratio; Akaike InformationCriterion (AIC);

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