We examine the investment decision problem of a group whose members have heterogeneous time preferences. In particular … exponential discounting for their collective investment decisions even if all agents discount exponentially.We also exhibit …

, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment … conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent … returns with respect to bills and bonds returns decreases as the investment horizon grows. They suggest that long …

equities returns ; Value at Risk ; investment horizon ; vector auto-regression …