Home  Journals  Finance and Credit  29(365) – 2009 August

Portfolio selection with respect to investment horizon

Available online: 17 September 2009

Subject Heading: Investment activity

JEL Classification: 

In the article discloses new approach to optimal portfolio selection with respect to investment horizon. This theory based on existing model of Tobin and Markowitz and extends it on cases when balancing and sequential reinvestment take place. Also introduced alternative description of variability of time series, which is distinct from standard deviation and based on arithmetic to geometric mean ratio of finite number of positive numbers. In addition in the article explains analog of CAPM theory, Sharpe’s coefficients calculation methodology with respect to investment horizon and alternative variant of variability and also results of retrospective analysis of historical data of Russian stock market in context of this theory.

Keywords: investment, portfolio analysis, risk-management, diversity, portfolio optimization, CAPM

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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