-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The … GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute … the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that …

Using an NPV-based revealed-preference strategy, I find that idiosyncratic risk materially affects the discount rate …-specific idiosyncratic risk and find that, on average, firms inflate their discount rate by 5 percentage points (pp) in response to an 18 pp … increase in idiosyncratic risk. Moreover, these discount rate adjustments are negatively associated with various measures of …