Investment Horizon and Portfolio Selection

32 Pages Posted: 19 Oct 2016 Last revised: 9 Mar 2017

Date Written: March 8, 2017


I introduce a method of portfolio selection based on the idea that investment risk is not having enough wealth when you need it. Not having enough wealth translates into a required return. When you need wealth translates into an investment horizon. These two ingredients, when combined with asymmetric preferences for wealth above and below the target, result in portfolio selection that depends explicitly on investment horizon.

Keywords: Multi Period Portfolio Choice, Shortfall Risk, Mean Variance, Dynamic Asset Allocation

JEL Classification: G11, D81, C61

Suggested Citation

Tarlie, Martin, Investment Horizon and Portfolio Selection (March 8, 2017). Available at SSRN: or

Martin Tarlie (Contact Author)

GMO ( email )

United States
617-790-5072 (Phone)

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