Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85735
Authors: 
Lam, Kin
Zou, Liang
Year of Publication: 
2000
Series/Report no.: 
Tinbergen Institute Discussion Paper 00-063/2
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.
Subjects: 
Time diversification
expected utility
long-term capital allocation
JEL: 
G11
Document Type: 
Working Paper

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