Legal restrictions on portfolio holdings: Some empirical results

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Reihe Ökonomie / Economics Series ; No. 93

Classification and Topics

• Classification: Wirtschaft ; Optimization Techniques; Programming Models; Dynamic Analysis ; Portfolio Choice; Investment Decisions
• Subject: upper bound constraint ; portfolio holdings ; parametric quadratic programming ; Portfolio-Management ; Capital Asset Pricing Model ; Wertpapieranalyse ; Österreich

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hlouskova, Jaroslava ; Lee, Gabriel S.
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 2001

Further information

• Handle: http://hdl.handle.net/10419/71204
• Last update: 10.03.2025, 11:45 AM CET