PORTFOLIO PERFORMANCE AND THE INVESTMENT HORIZON.

Haim Levy

doi:10.1287/mnsc.18.12.b645

PORTFOLIO PERFORMANCE AND THE INVESTMENT HORIZON.

Haim Levy^*

^*Corresponding author for this work

BA Business Department

Research output: Contribution to journal › Article › peer-review

84 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 language	English
Pages (from-to)	b645-b653
Journal	Management Science
Volume	18
Issue number	12
DOIs	https://doi.org/10.1287/mnsc.18.12.b645
State	Published - 1972

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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.",

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PORTFOLIO PERFORMANCE AND THE INVESTMENT HORIZON.

Abstract

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