Guidolin, Massimo (contributor); … - 2005
. Brennan and Xia (2001) solve the
portfolio allocation problem of a long-term Bayesian investor assuming an asset menu similar … (2001), an important issue for a
long-horizon investor is whether size and value effects, if genuine, can be expected to … high-volatility states. At short horizons, we find a more significant role for these portfolios linked
1
Lynch (2001 …