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Efficient Portfolio Selections beyond the Markowitz Frontier

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  • Cheng, Pao Lun

Abstract

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.

Suggested Citation

  • Cheng, Pao Lun, 1971. "Efficient Portfolio Selections beyond the Markowitz Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1207-1234, December.
    • Handle: RePEc:cup:jfinqa:v:6:y:1971:i:05:p:1207-1234_02
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    Cited by:

    1. Michael Maxwell & Gary Vuuren, 2019. "Active Investment Strategies under Tracking Error Constraints," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(3), pages 309-322, August.
    2. Michael D. Mattei, 2018. "Enhanced Portfolio Performance Using a Momentum Approach to Annual Rebalancing," IJFS, MDPI, vol. 6(1), pages 1-9, February.

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