Kung, James J. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 10, pp. 3089-3098
In mean–variance (M–V) analysis, an investor with a holding period [0,T] operates in a two-dimensional space—one is the … allows investors to trade at any time in response to changes in the market conditions and the length of their holding period … decreases as the spot rate increases; (2) y*(t) decreases as the holding period shortens; and (3) y*(t) decreases as the risk …