The paper compares three portfolio optimization models. Modern portfolio theory (MPT) is a short-horizon volatility model. The relevant time horizon is the sampling interval. MPT is myopic and implies that investors are not concerned with long-term variance or mean-reversion. Intertemporal...

Time horizon dimensions are added to asset pricing theory. Single period, static, arbitrage pricing theory (APT) describes single period risk with long horizon contributions in the frequency domain. Mean-reversion risks correspond to horizon variances. Mean-reversion risk is measured using the...

Spreadsheet software is now widely used as a decision‐making tool, owing to the simplicity and ease with which generalists can analyse and obtain fast and precise information. Through spreadsheet programs, a on‐specialist can conduct an exhaustive “what if” search in order to make...