Investment Horizon and Composition of Optimal Portofolio: International Evidence

Gordon Y N Tang; Raymond S K Lee

doi:10.1023/A:1009698225841

Investment Horizon and Composition of Optimal Portofolio: International Evidence

Gordon Y N Tang, Raymond S K Lee

Research output: Contribution to journal › Journal article › peer-review

22 Downloads (Pure)

Abstract

Little attention has been paid in the literature to the impact of different investment horizons on the portfolio compositiondespite its importance to portfolio managers. One exception isthe study by Gunthorpe and Levy (1994) on the U.S. stock market.Our paper extends the same study to the stock markets of Japan,Hong Kong and Korea. Using 40 individual stocks in each market,our results support those of Gunthorpe and Levy (1994) in thatthe composition of an optimal portfolio depends heavily on theinvestment horizon. When the investment horizon lengthens, theproportion of defensive stocks becomes larger while that ofaggressive stocks becomes smaller.

Original language	English
Pages (from-to)	75–96
Number of pages	22
Journal	Financial Engineering and the Japanese Markets
Volume	4
Issue number	1
DOIs	https://doi.org/10.1023/A:1009698225841
Publication status	Published - Jan 1997

User-Defined Keywords

investment horizon
optimal portfolio

Access to Document

10.1023/A:1009698225841

Full TextAccepted author manuscript, 10.7 MB

Cite this

@article{cea05639dda04127b187d42c272f8cb4,

title = "Investment Horizon and Composition of Optimal Portofolio: International Evidence",

abstract = "Little attention has been paid in the literature to the impact of different investment horizons on the portfolio compositiondespite its importance to portfolio managers. One exception isthe study by Gunthorpe and Levy (1994) on the U.S. stock market.Our paper extends the same study to the stock markets of Japan,Hong Kong and Korea. Using 40 individual stocks in each market,our results support those of Gunthorpe and Levy (1994) in thatthe composition of an optimal portfolio depends heavily on theinvestment horizon. When the investment horizon lengthens, theproportion of defensive stocks becomes larger while that ofaggressive stocks becomes smaller.",

keywords = "investment horizon, optimal portfolio",

author = "Tang, {Gordon Y N} and Lee, {Raymond S K}",

year = "1997",

month = jan,

doi = "10.1023/A:1009698225841",

language = "English",

volume = "4",

pages = "75–96",

journal = "Financial Engineering and the Japanese Markets",

issn = "1380-2011",

publisher = "Springer New York",

number = "1",

}

TY - JOUR

T1 - Investment Horizon and Composition of Optimal Portofolio

T2 - International Evidence

AU - Tang, Gordon Y N

AU - Lee, Raymond S K

PY - 1997/1

Y1 - 1997/1

N2 - Little attention has been paid in the literature to the impact of different investment horizons on the portfolio compositiondespite its importance to portfolio managers. One exception isthe study by Gunthorpe and Levy (1994) on the U.S. stock market.Our paper extends the same study to the stock markets of Japan,Hong Kong and Korea. Using 40 individual stocks in each market,our results support those of Gunthorpe and Levy (1994) in thatthe composition of an optimal portfolio depends heavily on theinvestment horizon. When the investment horizon lengthens, theproportion of defensive stocks becomes larger while that ofaggressive stocks becomes smaller.

AB - Little attention has been paid in the literature to the impact of different investment horizons on the portfolio compositiondespite its importance to portfolio managers. One exception isthe study by Gunthorpe and Levy (1994) on the U.S. stock market.Our paper extends the same study to the stock markets of Japan,Hong Kong and Korea. Using 40 individual stocks in each market,our results support those of Gunthorpe and Levy (1994) in thatthe composition of an optimal portfolio depends heavily on theinvestment horizon. When the investment horizon lengthens, theproportion of defensive stocks becomes larger while that ofaggressive stocks becomes smaller.

KW - investment horizon

KW - optimal portfolio

U2 - 10.1023/A:1009698225841

DO - 10.1023/A:1009698225841

M3 - Journal article

SN - 1380-2011

VL - 4

SP - 75

EP - 96

JO - Financial Engineering and the Japanese Markets

JF - Financial Engineering and the Japanese Markets

IS - 1

ER -

Investment Horizon and Composition of Optimal Portofolio: International Evidence

Abstract

User-Defined Keywords

Access to Document

Fingerprint

Cite this