Levy, Moshe; Levy, Haim - In: Risks : open access journal 12 (2024) 3, pp. 1-16
Expected returns, variances, betas, and alphas are all non-linear functions of the investment horizon. This seems to be a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all investors. We show that under the standard assumptions, the...