Investment managers generally subscribe to the principle oftime diversification. This implies that a larger portion oftheporifolioshould be devoted to risky assets as the in vestment horizon increases. In contrast, academics have shown that for investors with utility functions characterized by constant relative risk aversion, the optimal asset-al locations trategy is indep endentofthe investment horizon. The relative risk avers ion in these studies is assumed to be constant both with respect to wealth as well as invest ment horizon. We s uggest a utility function that explicitly captures the notion that indi viduals are more risk tolerant when the investment horizon is long, thereby validating the intuitively appealing time divers ification argument.