Investment Horizon and Composition of Optimal Portofolio: International Evidence

Gordon Y N Tang, Raymond S K Lee

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    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 languageEnglish
    Pages (from-to)75–96
    Number of pages22
    JournalFinancial Engineering and the Japanese Markets
    Issue number1
    Publication statusPublished - Jan 1997

    User-Defined Keywords

    • investment horizon
    • optimal portfolio


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