The Time Diversification Controversy: An Analysis of the Italian Financial Market

Does the risk of an investment change with its timehorizon? In this article we put to test the competing claims presented by the literature on the so-called time diversification controversy. Using data from the Italian financial market of the last twenty years, we look at the evolution of different measures of risk as we extend the investment period. Our results seem to confirm Samuelson’s view, that, under certain conditions, the riskiness of an investment increases with the time horizon