Risk Policy and Long-Term Investment

@inproceedings{Michaud1981RiskPA,
  title={Risk Policy and Long-Term Investment},
  author={Richard O. Michaud},
  year={1981}
}
Empirical tests of the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM) have generally concluded that there is a positive, approximately linear, trade-off between average return and systematic risk (beta) for portfolio returns of common stocks. Most of the empirical studies, however, have reported data for short, usually monthly, time intervals. Exceptions to this rule include Blume and Friend and Sharpe. Their data provide evidence that long-term wealth ratios are concave, possibly… CONTINUE READING