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Persistent link: https://www.econbiz.de/10005808769
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...
Persistent link: https://www.econbiz.de/10005067805