If you are experiencing problems downloading PDF or HTML fulltext, our helpdesk recommend clearing your browser cache and trying again. If you need help in clearing your cache, please click here . Still need help? Email help@ingentaconnect.com

An analysis of mean-variance portfolio selection with varying holding periods

$54.78 plus tax (Refund Policy)

Buy Article:

Abstract:

In this study, I investigate optimal holding period (investment horizon) for the classical mean-variance portfolio optimization problem. Optimal holding period ex-post is determined using Istanbul Stock Exchange ISE-100 index stocks and Athens Stock Exchange FTSE-40 index stocks data. I extend the approach to other downside risk criteria including expected loss and semi-variance. The analysis involves solving the portfolio optimization problem for a total of 648 cases - two stock exchanges, three different target return levels, three different risk measures and 36 different time periods with rolling data. I discuss the results from the view point of two neighbouring markets: one with an upward trend and the other with a downward trend. The results show that portfolio returns with varying holding periods have a convex structure with an optimal holding period.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840600606310

Affiliations: Department of Business Administration, Beytepe Campus, Hacettepe University, 06532 Ankara, Turkey

Publication date: June 1, 2007

More about this publication?
Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more