Add to ORKGWe 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
This paper reconsiders the conditions determining the optimal response of a decision maker in case o...
This paper further explores the horizon effect in the optimal static and dynamic demand for risky as...
Welfare gains to long-horizon investors may derive from time diversification that exploits nonzero i...
We show in general that risky investments become more attractive asthe investment horizon (n) length...
Investment managers generally subscribe to the principle of time diversification. This implies that ...
It is often recommended that asset allocation, in particular the proportion of stocks in a portfolio...
I study the allocation problem of investors who hold their portfolio until a target wealth is attain...
This paper investigates the relationship between the performance of equity and the length of the inv...
Boudry and Gray (2003) have documented that the optimal buy‐and‐hold demand for Australian stocks is...
We establish general conditions under which younger investors should invest a larger proportion of t...
By employing leverage to gain more exposure to stocks when young, individuals can achieve better div...
Optimal Value and Growth Tilts in Long-Horizon Portfolios We develop an analytical solution to the d...
Prospect Theory (PT) and Constant-Relative-Risk-Aversion (CRRA) preferences have clear-cut and very ...
As risk aversion approaches infinity, the portfolio of an investor with utility over consumption at ...
We develop an analytical solution to the dynamic portfolio choice problem of an investor with power ...
This paper reconsiders the conditions determining the optimal response of a decision maker in case o...
This paper further explores the horizon effect in the optimal static and dynamic demand for risky as...
Welfare gains to long-horizon investors may derive from time diversification that exploits nonzero i...
We show in general that risky investments become more attractive asthe investment horizon (n) length...
Investment managers generally subscribe to the principle of time diversification. This implies that ...
It is often recommended that asset allocation, in particular the proportion of stocks in a portfolio...
I study the allocation problem of investors who hold their portfolio until a target wealth is attain...
This paper investigates the relationship between the performance of equity and the length of the inv...
Boudry and Gray (2003) have documented that the optimal buy‐and‐hold demand for Australian stocks is...
We establish general conditions under which younger investors should invest a larger proportion of t...
By employing leverage to gain more exposure to stocks when young, individuals can achieve better div...
Optimal Value and Growth Tilts in Long-Horizon Portfolios We develop an analytical solution to the d...
Prospect Theory (PT) and Constant-Relative-Risk-Aversion (CRRA) preferences have clear-cut and very ...
As risk aversion approaches infinity, the portfolio of an investor with utility over consumption at ...
We develop an analytical solution to the dynamic portfolio choice problem of an investor with power ...
This paper reconsiders the conditions determining the optimal response of a decision maker in case o...
This paper further explores the horizon effect in the optimal static and dynamic demand for risky as...
Welfare gains to long-horizon investors may derive from time diversification that exploits nonzero i...