Financial Services Review | 2010
Authors:
DOI: 10.61190/fsr.v19i4.4988
Journal: Financial Services Review
Year: 2010
Publisher: Academy of Financial Services
Document Type: Article
Open Access: All Open Access; Gold Open Access; Green Open Access
Cited by: 1
This paper investigates the changing nature of equity investment risks across time horizon, an important issue in asset allocation decisions. We extend the literature by concentrating on different investment styles and by incorporating investors' risk tolerance into the analysis. Our results show that for more risk-averse investors, the large-cap growth style is the safest style over shorter investment horizons, while a small-cap value style is the safest style over longer investment horizons. However, for more aggressive investors, the small-cap value style is always the safest style regardless of the investment horizons. In addition, the small-growth style is the most risky style across all investment horizons for both types of investors. Those results will help individual investors determine the best suited investment styles given their investment horizon and risk preferences. © 2010 Academy of Financial Services. All rights reserved.
Expected loss; Lower partial standard deviation; Shortfall risk; Styles; Time horizon