Milevsky, Moshe Arye - In: Review of Quantitative Finance and Accounting 12 (1999) 3, pp. 271-81
The purpose of this article is to demonstrate the effect of investment time horizon on the choice of risky assets in a portfolio when the investor in question is optimizing a Safety-First (downside risk-aversion) utility function. It is shown, under standard assumptions, that although shortfall...