PORTFOLIO PERFORMANCE AND THE INVESTMENT HORIZON.

Haim Levy*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

81 Scopus citations

Abstract

It is shown that as long as the ″true″ horizon does not coincide with the horizon assumed in the empirical research, the one-parameter indexes contain a systematic bias, even when one assumes a perfect market. In conducting empirical research or in evaluating the performance of the management of a portfolio, more attention should be devoted to the selection of the investment horizon, since the magnitude as well as the direction of the systematic bias is a function of this factor.

Original languageEnglish
Pages (from-to)b645-b653
JournalManagement Science
Volume18
Issue number12
DOIs
StatePublished - 1972

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