We examine the problem of time diversification from the viewpoint of prospect theory investors. We use a block bootstrap approach to generate returns of US stocks and Treasury bills for time horizons ranging from 1 year to 20 years. On average, value functions computed using these bootstrapped...

Intertemporal implications of the mixture-of-distributions hypothesis (MDH) are derived based on the concept of time reversibility in statistical mechanics. The restrictions are tested using simple nonparametric tests that do not impose auxiliary assumptions on the stochastic process for trading...