INVESTMENT HORIZON AND EFFICIENT FRONTIER

摘要

This paper verified the impact of the investment horizon in the allocation of an optimized portfolio. To do so, we generated efficient frontiers from a group of diversified global asset classes considering time series of returns of the past 10 years. It was possible to prove that the investment horizon impacts the composition of optimal portfolios for different risk levels. In the analysis of the differences in the allocations of portfolios it was revealed a greater disparity in asset allocations in the intermediate to high levels of risk, thus giving support to the effect of the investment horizon in the definition of an optimal portfolio.