Decision Making and the Investment Horizon

  • Haim Levy
Part of the Studies in Risk and Uncertainty book series (SIRU, volume 12)

Abstract

Mean-variance and stochastic dominance efficiency analysis, the stock’s beta, and portfolio performance measures are all based on rates of return: historical rates of return in the case of ex-post analysis or true rates of return in the case of ex-ante analysis. In turn, rates of return are calculated on the basis of the investment horizon. In this chapter we investigate the extent to which the stochastic dominance efficient sets as well as other widely used portfolio analyses depend on the selected investment horizons.

Keywords

Horizon Effect Mutual Fund Stochastic Dominance Investment Horizon Riskless Asset 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Notes

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Copyright information

© Springer Science+Business Media New York 1998

Authors and Affiliations

  • Haim Levy
    • 1
  1. 1.The Hebrew University of JerusalemIsrael

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