Young, timid, and risk takers

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