Does the risk of an investment change with its timehorizon? In this article we put to test the competing claims presented by the literature on the so-called time diversification controversy. Using data from the Italian financial market of the last twenty years, we look at the evolution of different measures of risk as we extend the investment period. Our results seem to confirm Samuelson’s view, that, under certain conditions, the riskiness of an investment increases with the time horizon.
The Time Diversification Controversy: An Analysis of the Italian Financial Market
Sechi Agnese;Cardullo Gabriele
2020-01-01
Abstract
Does the risk of an investment change with its timehorizon? In this article we put to test the competing claims presented by the literature on the so-called time diversification controversy. Using data from the Italian financial market of the last twenty years, we look at the evolution of different measures of risk as we extend the investment period. Our results seem to confirm Samuelson’s view, that, under certain conditions, the riskiness of an investment increases with the time horizon.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
4.pdf
accesso chiuso
Descrizione: articolo principale
Tipologia:
Documento in versione editoriale
Dimensione
374.85 kB
Formato
Adobe PDF
|
374.85 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
