Über kurz oder lang - Welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?

The question how an allocation decision is influenced by the investment horizon is of highest practical relevance, in particular in the context of retirement savings. Practitioners refer to the law of large numbers to argue that for a sufficiently long investment horizon it is almost certain to realize a return close to the mean return of the asset. Such time diversification effects allow an investor to appreciate the high returns of stocks without bearing too much of a risk. In contrast to this reasoning, there are theoretical arguments, e.g. from the view point of expected utility theory, that claim the investment horizon to be irrelevant for the allocation decision. It is the goal of this paper to present the most relevant arguments in the debate between the two camps and to pinpoint the reasons for the confusion. We further aim to show that even in an expected utility framework the irrelevance of the investment horizon is by no means a general result. An extension of the basic model by aspects as background risk or autocorrelated returns does not only result in more realistic scenarios, but also demonstrates that expected utility results can be well in line with the practitioners' view.