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investors, policymakers, stock market reforms, and macroeconomic transformations; for example, portfolio diversification …
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This paper presents three definitions of time diversification and analyzes their implications for investment horizons …. Using decision quality criteria and methodology, we question standard advice. In analyzing time diversification with a … minimum of assumptions, we answer two main questions: how to rigorously define time diversification and what conditions favor …
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Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...
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