• DocumentCode
    3466772
  • Title

    Does Heterogeneous Investment Horizon Effect on CAPM

  • Author

    Xiong He-Ping

  • Author_Institution
    Dept. Finance, Wuhan Univ., Wuhan
  • fYear
    2008
  • fDate
    12-14 Oct. 2008
  • Firstpage
    1
  • Lastpage
    4
  • Abstract
    This paper study on the multi-period portfolio GPH model. We study on the GPH mean-variance efficient frontier. We show how to realize the GPH linear efficient frontier and prove that the GHP frontier is not efficient. The paper also suggests a stochastic dominance GHP rebalance strategy allow the CAPM holds for each single period.
  • Keywords
    investment; CAPM; GPH linear efficient frontier; GPH mean-variance efficient frontier; heterogeneous investment horizon effect; multiperiod portfolio GPH model; stochastic dominance GHP rebalance strategy; Finance; Financial management; Investments; Portfolios; Reactive power; Risk analysis; Security; Shape; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
  • Conference_Location
    Dalian
  • Print_ISBN
    978-1-4244-2107-7
  • Electronic_ISBN
    978-1-4244-2108-4
  • Type

    conf

  • DOI
    10.1109/WiCom.2008.2292
  • Filename
    4680481
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3466772