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dc.contributor.authorAase, Knut K.
dc.date.accessioned2009-10-19T11:31:13Z
dc.date.available2009-10-19T11:31:13Z
dc.date.issued2009-09
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163979
dc.description.abstractIn the canonical model of investments, the optimal fractions in the risky assets do not depend on the time horizon. This is against empirical evidence, and against the typical recommendations of portfolio managers. We demonstrate that if the intertemporal coefficient of relative risk aversion is allowed to depend on time, or the age of the investor, the investment horizon problem can be resolved. Accordingly, the only standard assumption in applied economics/finance that we relax in order to obtain our conclusion, is the state and time separability of the intertemporal felicity index in the investor’s utility function. We include life and pension insurance, and we also demonstrate that preferences aggregate.en
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2009:7en
dc.subjectthe investment horizon problemen
dc.subjectcomplete marketsen
dc.subjectlife and pension insuranceen
dc.subjectdynamic programmingen
dc.subjectKuhn-Tuckeren
dc.subjectdirectional derivativesen
dc.subjecttime consistencyen
dc.subjectaggregationen
dc.titleThe investment horizon problem : a resolutionen
dc.typeWorking paperen
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Bedriftsøkonomi: 213en


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