The Time Diversification Puzzle: A Survey
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Since Samuelson’s (1969) theoretical proof that risk and time are unrelated, a half century of debate and controversy has ensued, leaving time diversification as one of the most enduring puzzles of modern finance. The most conspicuous aspect of the debate is the questionable assumptions that underlie much of the analysis. Thus we are left with an unsatisfying debate conducted in a paradigm where terminal wealth is usually a function only of returns, and where time-weighted measures are assumed to adequately evaluate performance. This paper reviews the major streams in the time diversification literature and argues that more realistic analysis using defensible assumptions is likely to lead to better prescriptions for improved retirement investing.
Financial Planning Research Journal
© 2016 Griffith University. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.