Arbeitspapier
Legal restrictions on portfolio holdings: Some empirical results
This article investigates the sensitivity analysis of mean-variance portfolio holdings to changes in the upper bounds. The optimization problem studied in this paper is, thus, constrained by a restriction that no more than certain portion of wealth can be invested in any one security. Our empirical results show that for both risk tolerant as well as for risk averse investors, the performance and expected returns of mean-variance efficient portfolios under the legal restrictions are lower and the variance are higher than the corresponding ones without the restriction.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 93
- Klassifikation
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
- Thema
-
upper bound constraint
portfolio holdings
parametric quadratic programming
Portfolio-Management
Capital Asset Pricing Model
Wertpapieranalyse
Österreich
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hlouskova, Jaroslava
Lee, Gabriel S.
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Hlouskova, Jaroslava
- Lee, Gabriel S.
- Institute for Advanced Studies (IHS)
Entstanden
- 2001
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