Download This PaperInvestment Horizon and Portfolio Selection
32 Pages Posted: 19 Oct 2016 Last revised: 9 Mar 2017
Date Written: March 8, 2017
Abstract
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: Suggested Citation
Tarlie, Martin, Investment Horizon and Portfolio Selection (March 8, 2017). Available at SSRN: https://ssrn.com/abstract=2854336 or http://dx.doi.org/10.2139/ssrn.2854336
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