Usted está aquí

Back to top

Investment horizon dependent CAPM : adjusting beta for long-term dependence

Carlos Eduardo
León-Rincón
Karen Juliet
Leiton-Rodríguez
Alejandro
Reveiz Herault
Miércoles, 1 Agosto 2012

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to t