Portfolio Allocation and the Investment Horizon

CFA Digest ◽  
1997 ◽  
Vol 27 (4) ◽  
pp. 68-69
Keyword(s):  
Portfolio Allocation ◽  
Investment Horizon

Portfolio allocation and the investment horizon: a multiscaling approach

2010 ◽  
Vol 10 (4) ◽  
pp. 443-453 ◽  
Author(s):  
Sangbae Kim ◽  
Francis In
Keyword(s):  
Portfolio Allocation ◽  
Investment Horizon

A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT

2000 ◽  
Vol 03 (04) ◽  
pp. 617-639 ◽  
Author(s):  
L. GARDIOL ◽  
R. GIBSON ◽  
P.-A. BARES ◽  
R. CONT ◽  
S. GYGER
Keyword(s):  
Portfolio Management ◽  
Large Deviation ◽  
Asset Returns ◽  
Portfolio Allocation ◽  
Investment Horizon ◽  
Financial Assets ◽  
Large Deviations Theory ◽  
The Mean ◽  
Mean Variance ◽  
New Framework

We propose a new framework to measure the risk of a single asset and of a portfolio of financial assets which takes the agent's investment horizon into account. The methodology is based on the moderate and large deviations theory in its simplest form. We show how it can be used to select optimal portfolios given investors' planning horizons and preferences for fatter right or left tails. For practical purposes, we introduce a new parameter, the "dilation exponent" α to characterize asset returns' distributions beyond the information contained in the mean-variance framework. We estimate α for Swiss individual stocks and for MSCI country and sector stock market indices. Finally, we show how to use the dilation exponent in conjunction with Sharpe's ratio for portfolio allocation purposes.

Real Estate Risk Factors and Portfolio Allocation

2018 ◽  
Author(s):  
Martin Hoesli ◽  
Jean-Christophe Delfim
Keyword(s):  
Risk Factors ◽  
Real Estate ◽  
Portfolio Allocation

Equity Allocations and the Investment Horizon: A Total Portfolio Approach

CFA Digest ◽  
2003 ◽  
Vol 33 (1) ◽  
pp. 64-66
Author(s):  
Joseph Spivack
Keyword(s):  
Investment Horizon ◽  
Portfolio Approach
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