The Role of the Investment Horizon in Optimal Portfolio Sequencing (An Intuitive Demonstration in Discrete Time)

@inproceedings{Marshall1994TheRO,
  title={The Role of the Investment Horizon in Optimal Portfolio Sequencing (An Intuitive Demonstration in Discrete Time)},
  author={John F. Le Marshall},
  year={1994}
}
This paper examines the role played by the investor's investment horizon in the choice of optimal portfolios. A complete discrete-time, multiperiod, portfolio model is presented with a choice criterion that is consistent with the traditional utility approach but which is more amenable to a multiperiod environment. It is shown that investors should choose progressively less risky single-period portfolios as their investment horizons grow shorter, even if they do not become more risk averse. This… CONTINUE READING

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