Decisions, Stocks, and Time Diversification

21 Pages Posted: 9 Nov 2012 Last revised: 22 Jul 2013

See all articles by Dennis W. McLeavey

Dennis W. McLeavey

CFA Institute; University of Rhode Island College of Business Administration

Sebastien Lleo

NEOMA Business School

Date Written: July 22, 2013

Abstract

This paper presents three definitions of time diversification and analyzes their implications for investment horizons. Using decision quality criteria and methodology, we question standard advice. In analyzing time diversification with a minimum of assumptions, we answer two main questions: how to rigorously define time diversification and what conditions favor it.

Keywords: asset management, time diversification, decision theory, decision quality

JEL Classification: G11, G02

Suggested Citation

McLeavey, Dennis W. and Lleo, Sebastien, Decisions, Stocks, and Time Diversification (July 22, 2013). Available at SSRN: https://ssrn.com/abstract=2172483 or http://dx.doi.org/10.2139/ssrn.2172483

Dennis W. McLeavey

CFA Institute ( email )

915 East High Street
Charlottesville, VA 22902
United States

University of Rhode Island College of Business Administration ( email )

Kingston, RI 02881
United States

Sebastien Lleo (Contact Author)

NEOMA Business School ( email )

Reims
France

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