Misconceptions about Optimal Equity Allocation and Investment Horizon
澄清了关于投资期限越长越应多配股权的长期争论，证明经济模型与理性投资者偏好并不矛盾，并展示了期限对最优股权配置的影响方向。
Our analysis and results offer some resolution to a debate that has continued for 30 years. We demonstrate that, in contrast to prior claims, no conflict exists between the implications of economic models of choice under uncertainty and a rational investor preference for larger equity allocations at longer investment horizons. Using examples of expected utility of wealth and mean–variance utility, we show that the effect of a longer horizon on risky-asset allocation is consistent with increasing or decreasing optimal equity allocations, even under the assumption of constant relative risk aversion.