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The Investment Horizon and Dynamic Asset Allocation - Some Experimental Evidence

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  • Klos, Alexander

    (Sonderforschungsbereich 504)

Abstract

This paper presents the results of an asset allocation experiment on the influence of the investment horizon on risk taking. We investigate exposures to the risky asset for an investment horizon of one and two periods in a dynamic setting. We found no significant difference in allocations.

Suggested Citation

  • Klos, Alexander, 2004. "The Investment Horizon and Dynamic Asset Allocation - Some Experimental Evidence," Sonderforschungsbereich 504 Publications 04-09, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Handle: RePEc:xrs:sfbmaa:04-09
    Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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    Cited by:

    1. Doerrenberg, Philipp & Duncan, Denvil & Zeppenfeld, Christopher, 2015. "Circumstantial risk: Impact of future tax evasion and labor supply opportunities on risk exposure," Journal of Economic Behavior & Organization, Elsevier, vol. 109(C), pages 85-100.
    2. Alexander Klos & Elke U. Weber & Martin Weber, 2005. "Investment Decisions and Time Horizon: Risk Perception and Risk Behavior in Repeated Gambles," Management Science, INFORMS, vol. 51(12), pages 1777-1790, December.
    3. Ponti, Giovanni & Tomás, Josefa, 2021. "Diminishing marginal myopic loss aversion: A stress test on investment games experiments," Journal of Economic Behavior & Organization, Elsevier, vol. 190(C), pages 125-133.

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