Hostname: page-component-7bb8b95d7b-495rp Total loading time: 0 Render date: 2024-09-13T14:29:36.605Z Has data issue: false hasContentIssue false
  • English
  • Français

Efficient Portfolio Selections beyond the Markowitz Frontier

Published online by Cambridge University Press:  19 October 2009

Pao Lun Cheng
Get access Rights & Permissions [Opens in a new window]

Extract

A portfolio frontier superior to the Markowitz one-period buy-and hold efficient frontier does exist. Such a superior frontier can be generated by pursuing a rebalancing policy, even under the conditions of random walk. By rebalancing we mean that an investor maintains a fixed but optimal set of weights among the securities in a portfolio throughout an investment period by buying and selling securities at the end of some predetermined intervals.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 5 , December 1971 , pp. 1207 - 1234
Copyright
Copyright © School of Business Administration, University of Washington 1971

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Bellman, Richard. Dynamic Programming. Princeton: Princeton University Press, 1957.Google ScholarPubMed
[2]Cheng, Pao L., and Deets, M. King. “Portfolio Returns and the Random Walk Theory.” Journal of Finance, XXVI, March 1971, 11–30.CrossRefGoogle Scholar
[3]Evans, John L. “The Random Walk Hypothesis, Portfolio Analysis and the Buy-and-Hold Criterion.” Journal of Financial and Quantitative Analysis, III, September 1968, 327–342.CrossRefGoogle Scholar
[4]Evans, John L.. “An Analysis of Portfolio Maintenance Strategies.” Journal of Finance, XXV, June 1970, 561–571.Google Scholar
[5]Fama, Eugene. “The Behavior of Stock Market Prices.” Journal of Business, XXXVII, January 1965, 34–105.CrossRefGoogle Scholar
[6]Feller, William. An Introduction to Probability Theory and Its Applications, Volume II, New York: John Wiley and Sons, Inc., 1966.Google Scholar
[7]Latané, H.A., and Young, W. E.. “Test of Portfolio Building Rules.” Journal of Finance, XXIV, September 1969, 595–612.CrossRefGoogle Scholar
[8]Lintner, John. “Security Prices, Risk and Maximal Gain from Diversification.” Journal of Finance, XX, December 1965, 587–615.Google Scholar
[9]Lintner, John. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics, XLVII, February 1965, 13–37.CrossRefGoogle Scholar
[10]Mandelbrot, Benoit. “The Variation of Certain Speculative Prices.” Journal of Business, XXXVI, October 1963, 394–419.CrossRefGoogle Scholar
[11]Markowitz, Harry M.Portfolio Selection: Efficient diversification of Investments. New York: John Wiley and Sons, Inc., 1959.Google Scholar
[12]Merton, Robert C. “Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case.” Review of Economics and Statistics, LI, August 1969, 3, 247–257.Google Scholar
[13]Mossin, Jan. “Optimal Multiperiod Portfolio Policies.” Journal of Business, 41, April 1968, 2, 215–229.Google Scholar
[14]Mossin, Jan. “Equilibrium in a Capital Asset Market.” Econometrica, XXXIV, October 1966, 768–783.CrossRefGoogle Scholar
[15]Samuelson, Paul A. “Lifetime Portfolio Selection by Dynamic Stochastic Programming.” Review of Economics and Statistics, LI, August 1969, 3, 239–246.Google Scholar
[16]Sharpe, William. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance, XIX, September 1964, 425–442.Google Scholar
[17]Sharpe, William. “Mutual Fund Performance.” Journal of Business, XXXIX, No. 1, Part II, January 1966, 119–138.CrossRefGoogle Scholar
[18]Sharpe, William. “A Simplified Model for Portfolio Analysis.” Management Science, 9, January 1963, 277–293.CrossRefGoogle Scholar