Adding Risks: Some General Results about Time Diversification
AbstractWe 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.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 00-063/2.
Date of creation: 31 Jul 2000
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Time diversification; expected utility; long-term capital allocation;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-09-18 (All new papers)
- NEP-IAS-2000-09-18 (Insurance Economics)
- NEP-MIC-2000-09-18 (Microeconomics)
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- Mehari Mekonnen Akalu, 2002. "Measuring and Ranking Value Drivers," Tinbergen Institute Discussion Papers 02-043/2, Tinbergen Institute.
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