Title :
Does Heterogeneous Investment Horizon Effect on CAPM
Author_Institution :
Dept. Finance, Wuhan Univ., Wuhan
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;
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
DOI :
10.1109/WiCom.2008.2292