Time diversification: Perspectives from option pricing theory

Financial Analysts Journal

Volumn 52, Issue 3, 1996, Pages 13-19

  Merrill, Craig ^a   Thorley, Steven ^a  

^a BRIGHAM YOUNG UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0003009820     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v52.n3.1991     Document Type: Review

References (11)

1. Bodie, Zvi. 1995. "On the Risk of Stocks in the Long Run." Financial Analysts Journal, vol. 51, no. 3 (May/June):18-22.
2. Bodie, Zvi, Alex Kane, and Alan J. Marcus. 1996. Investments, 3rd ed. (Homewood, IL: Irwin).
3. Butler, Kirt C., and Dale L. Domian. 1991. "Risk, Diversification, and the Investment Horizon." The Journal of Portfolio Management, vol. 17, no. 3 (Spring):41-48.
4. Kritzman, Mark. 1994. "What Practitioners Need to Know about Time Diversification." Financial Analysts Journal, vol. 50, no. 1 (January/February):14-18.
5. Lee, Wayne Y. 1990. "Diversification and Time: Do Investment Horizons Matter?" The Journal of Portfolio Management, vol. 16, no. 3 (Spring):21-26.
6. Leibowitz, Martin L., and Stanley Kogelman. 1991. "Asset Allocation under Shortfall Constraints." The Journal of Portfolio Management, vol. 17, no. 2 (Winter):18-23.
7. Merton, Robert C., and Paul A. Samuelson. 1974. "Fallacy of the Log-Normal Approximation to Portfolio Decision-making over Many Periods." Journal of Financial Economics, vol. 1, no. 1 (May):67-94.
8. Reichenstein, William, and Dovalee Dorsett. 1995. Time Diversification Revisited. (Charlottesville, VA: The Research Foundation of the Institute of Chartered Financial Analysts).
9. Samuelson, Paul A. 1989. "The Judgement of Economic Science on Rational Portfolio Management: Timing and Long Horizon Effects." The Journal of Portfolio Management, vol. 16, no. 1 (Fall):4-12.
10. _. 1994. "The Long Term Case for Equities and How It Can Be Oversold." The Journal of Portfolio Management, vol. 21, no. 1 (Fall):15-24.
11. Thorley, Steven. 1995. "The Time Diversification Controversy." Financial Analysts Journal, vol. 51, no. 3 (May/June):68-76.