Time diversification is the idea that the risk of meeting an investment objective can be
reduced if risky portfolios with high expected returns are held over long periods of time …

Some financial theorists reject the widely held practitioner belief in time diversification. The
theorists argue that, given serially uncorrelated returns, holding a risky asset over longer …

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 …

Asset management Standards discussion's main focus on governance issues matches the
established structural components of the Asset Management Standard's systematic …

Academicians and practitioners recently have focused a great deal of attention on the issue
of retirement asset allocation. However, research on the academic side typically has …

ABSTRACT Since Samuelson's (1969) theoretical proof that risk and time are unrelated, a
half century of debate and controversy has ensued, leaving time diversification as one of the …

This study extends existing research by examining the effect of personal income taxes on
the expected relative performance of asset classes as viewed from the retirement date …

Active asset allocation requires estimation of the equity risk premium over bonds in order to
compare the expected returns of the 2 asset classes. A commonly used method to estimate …

Untitled Page 1 Page 2 WHAT WORKS ON WALL STREET Page 3 OTHER BOOKS BY
JAMES P. O’SHAUGHNESSY Invest Like the Best: Using Your Computer to Unlock the …

What is the relationship between risk and investment horizon? Since Samuelson's (1969)
theoretical proof that risk and time are unrelated, a half century of debate and controversy …