Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2000-07-31
Number: 00-063/2
Author-Name: Kin Lam
Author-Workplace-Name: Hong Kong Baptist University
Author-Name: Liang Zou
Author-Email: liang@fee.uva.nl
Author-Workplace-Name: University of Amsterdam
Title: Adding Risks: Some General Results about Time Diversification
Abstract: 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.
Classification-JEL: G11
Keywords: Time diversification; expected utility; long-term capital allocation
File-Url: https://papers.tinbergen.nl/00063.pdf
File-Format: application/pdf
File-Size: 183594 bytes
Handle: RePEc:tin:wpaper:20000063