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...

Digital Portfolio Theory (DPT) permits investors to control their risk exposure with respect to multiple time horizons. DPT is a theoretical enhancement for estimating efficient portfolios that relaxes the normal distribution and zero autocorrelation assumptions of Modern Portfolio Theory (MPT)...