- To verify the effectiveness of a certain asset allocation strategy, how long a time horizon should be?
- Is there any academic paper regarding this topic?
Question in more detial
- I know that appropriate time horizon varies depending on investment strategy. For example, high frequency trading (HFT) needs less than a second to prove its effectiveness.
- The appropriate time horizon that I am curios to know is for 'portfolio investment', which is asset allocation.
- If I want to argue that a certain portfolio optimization strategy is better than others, how long time horizon do I need?