Investment Horizon and Composition of Optimal Portofolio: International Evidence

Gordon Y N Tang, Raymond S K Lee

    Research output: Contribution to journalJournal articlepeer-review

    14 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 languageEnglish
    Pages (from-to)75–96
    Number of pages22
    JournalFinancial Engineering and the Japanese Markets
    Volume4
    Issue number1
    DOIs
    Publication statusPublished - Jan 1997

    User-Defined Keywords

    • investment horizon
    • optimal portfolio

    Fingerprint

    Dive into the research topics of 'Investment Horizon and Composition of Optimal Portofolio: International Evidence'. Together they form a unique fingerprint.

    Cite this