Abstract
This paper analyses the relationship between the efficient sets of investment portfolios and the investment holding period. Investors are allowed to hold risky assets as well as the riskless asset. The main result is that dominance in each period implies dominance in the multiperiod case. This finding holds with respect to first, second and third degree stochastic dominance. The riskless interest rate may vary from one period to another without changing the results of this paper.
| Original language | English |
|---|---|
| Pages (from-to) | 427-438 |
| Number of pages | 12 |
| Journal | Review of Economic Studies |
| Volume | 49 |
| Issue number | 3 |
| DOIs | |
| State | Published - Jul 1982 |
| Externally published | Yes |