Time-varying asset returns lead highly risk-averse investors to choose market-timing exposures that increase in their horizon, in agreement with the common advice to reduce risk with age, but in contrast to theoretical work that prescribes constant portfolio weights. In a market where an investor with constant absolute risk aversion and finite horizon trades an asset with temporary fluctuations, we find asymptotically optimal investment strategies that are independent of the asset's average return and decline over time with a power of the remaining horizon, with the exponent determined by the curvature of mean reversion. For long-term safe assets, which have a zero average return, the investor's certainty equivalent declines over time at a lower rate, implying that a nonzero average return is negligible for asymptotically optimal strategies but critical to their performance.

中文翻译：

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年轻、胆小、敢于冒险

随时间变化的资产回报导致高度规避风险的投资者选择在他们的视野中增加的市场时机敞口，这与降低风险随年龄增长的常见建议一致，但与规定恒定投资组合权重的理论工作相反。在一个具有恒定绝对风险规避和有限期限的投资者交易具有临时波动的资产的市场中，我们发现渐近最优投资策略与资产的平均回报无关，并随着时间的推移随着剩余期限的力量而下降，指数由均值回归曲率决定。对于平均回报为零的长期安全资产，投资者的确定性等价物会随着时间的推移以较低的速度下降，