Bridge over ocean
1 January 1994 Financial Analysts Journal Volume 50, Issue 1

Portfolio Composition and the Investment Horizon

  1. Deborah Gunthorpe
  2. Haim Levy
When returns are dependent or nonstationary over time, it is obvious that the assumed investment horizon affects portfolio composition. Even if returns are independent and stationary, however, the composition of the investor's portfolio will change in some systematic manner with the assumed holding period. An analysis of the effect changes in investment horizon have on optimal portfolio composition finds that composition changes drastically and systematically with changes in holding period. Surprisingly, the longer the horizon, the larger the proportion of "safe" assets that should be included in the portfolio.
Read the Complete Article in Financial Analysts Journal Financial Analysts Journal CFA Institute Member Content

We’re using cookies, but you can turn them off in Privacy Settings.  Otherwise, you are agreeing to our use of cookies.  Accepting cookies does not mean that we are collecting personal data. Learn more in our Privacy Policy.