Arbeitspapier
Adding Risks: Some General Results about Time Diversification
We 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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 00-063/2
- Classification
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Subject
-
Time diversification
expected utility
long-term capital allocation
Betriebliche Investitionstheorie
Investitionsrisiko
Zeit
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Lam, Kin
Zou, Liang
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2000
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lam, Kin
- Zou, Liang
- Tinbergen Institute
Time of origin
- 2000
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