TY  - JOUR
AU  - Gollier,Christian
AU  - Zeckhauser,Richard J.
TI  - Horizon Length and Portfolio Risk
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 216
PY  - 1997
Y2  - October 1997
UR  - http://www.nber.org/papers/t0216
L1  - http://www.nber.org/papers/t0216.pdf
N1  - Author contact info:
Christian Gollier
University of Toulouse (LERNA)
Place Anatole France
31042 Toulouse Cedex
FRANCE
E-Mail: gollier@cict.fr

Richard J. Zeckhauser
John F. Kennedy School of Government
Harvard University
79 John F. Kennedy Street
Cambridge, MA  02138
Tel: 617/495-1174
Fax: 617/384-9340
E-Mail: richard_zeckhauser@harvard.edu
AB  - In this paper, we compare the attitude towards current risk of two expected-utility-maximizing investors that are identical except that the first investor will live longer than the" second one.  In one of the models under consideration, there are two assets at every period.  The" first asset has a zero sure return, whereas the second asset is risky without serial correlation of" yields.  It is often suggested that the young investor should purchase more of the risky asset than" the old investor in such circumstances.  We show that a necessary and sufficient condition to get" this property is that the Arrow-Pratt index of absolute tolerance (Tu) be convex.  If we allow for a" positive risk-free rate, the necessary and sufficient condition is Tu convex extends the well-known result that investors are myopic in this model if and only if the utility" function exhibits constant relative risk aversion.
ER  -