The Time Diversification Puzzle: A Survey

Bianchi Robert J., Drew Michael E. and Walk Adam N. ()

Financial Planning Research Journal, 2016, vol. 2, issue 2, 12-48

Abstract: Since Samuelson’s (1969) theoretical proof that risk and time are unrelated, a half century of debate and controversy has ensued, leaving time diversification as one of the most enduring puzzles of modern finance. The most conspicuous aspect of the debate is the questionable assumptions that underlie much of the analysis. Thus we are left with an unsatisfying debate conducted in a paradigm where terminal wealth is usually a function only of returns, and where time-weighted measures are assumed to adequately evaluate performance. This paper reviews the major streams in the time diversification literature and argues that more realistic analysis using defensible assumptions is likely to lead to better prescriptions for improved retirement investing.

Keywords: Time diversification; Risk; Investment horizon (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:finprj:v:2:y:2016:i:2:p:12-48:n:1005

DOI: 10.2478/fprj-2016-0009

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