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| Author: | Thorley, S. |
| Title: | The time-diversification controversy |
| Journal: | Financial Analysts' Journal
1995 : MAY-JUN, VOL. 51:3, p. 68-76 |
| Index terms: | TIME DIVERSIFICATION INVESTMENT |
| Language: | eng |
| Abstract: | Some financial theorists reject the widely held practitioner belief in time diversification. The theorists argue that, given serially uncorrelated returns, holding a risky asset over longer periods of time will not reduce its inherent riskiness. The argument is supported by references to economic models of risk aversion, such as mean-variance optimization and expected utility theory. Mean-variance optimizers , however, are not indifferent to investment horizon, and investment horizon indifference is only a special case within expected utility theory. |
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