Abstract
The results indicate that there appears to be no substantial differences between the buy-and-hold and the fixed proportion strategies regardless of whether an equal allocation scheme or a quadratic programming allocation scheme is employed. Also, when comparing the equal allocation scheme with the quadratic programming allocation scheme on either a buy-and-hold or fixed proportion maintenance strategy, no obvious differences persist. However, the primary focus of this paper was to gain insight into theex post performance of the quadratic programming variable proportions strategy. This latter strategy appears to be far superior to the others — providing greater returns with somewhat less variability. Thus this strategy may provide portfolio managers the where-withal to improve portfolio performance. Future research using other time periods and other samples of securities is necessary to adequately generalize these preliminary results.
Published Version
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