IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v39y2007i11p1399-1407.html
   My bibliography  Save this article

An analysis of mean-variance portfolio selection with varying holding periods

Author

Listed:
  • Aydın Ulucan

Abstract

In this study, I investigate optimal holding period (investment horizon) for the classical mean-variance portfolio optimization problem. Optimal holding period ex-post is determined using Istanbul Stock Exchange ISE-100 index stocks and Athens Stock Exchange FTSE-40 index stocks data. I extend the approach to other downside risk criteria including expected loss and semi-variance. The analysis involves solving the portfolio optimization problem for a total of 648 cases - two stock exchanges, three different target return levels, three different risk measures and 36 different time periods with rolling data. I discuss the results from the view point of two neighbouring markets: one with an upward trend and the other with a downward trend. The results show that portfolio returns with varying holding periods have a convex structure with an optimal holding period.

Suggested Citation

  • Aydın Ulucan, 2007. "An analysis of mean-variance portfolio selection with varying holding periods," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1399-1407.
    • Handle: RePEc:taf:applec:v:39:y:2007:i:11:p:1399-1407
    DOI: 10.1080/00036840600606310
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840600606310
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036840600606310?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Francis, Jack Clark, 1978. "Portfolio analysis of asset and liability management in small-, medium- and large-sized banks," Journal of Monetary Economics, Elsevier, vol. 4(3), pages 459-480, August.
    2. Aslihan Altay-Salih & Gulnur Muradoglu & Muhammet Mercan, 2002. "Performance of the efficient frontier in an emerging market setting," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 177-183.
    3. Rosenberg, Barr, 1974. "Extra-Market Components of Covariance in Security Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(2), pages 263-274, March.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. Elton, Edwin J & Gruber, Martin J, 1973. "Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection," Journal of Finance, American Finance Association, vol. 28(5), pages 1203-1232, December.
    6. Kalman J. Cohen & Jerry A. Pogue, 1967. "An Empirical Evaluation of Alternative Portfolio-Selection Models," The Journal of Business, University of Chicago Press, vol. 40, pages 166-166.
    7. Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(2), pages 76-84, June.
    8. Sharpe, William F., 1971. "A Linear Programming Approximation for the General Portfolio Analysis Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1263-1275, December.
    9. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    10. Pogue, G A, 1970. "An Extension of the Markowitz Portfolio Selection Model to Include Variable Transactions' Costs, Short Sales, Leverage Policies and Taxes," Journal of Finance, American Finance Association, vol. 25(5), pages 1005-1027, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
    2. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
    3. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Management Science, INFORMS, vol. 53(1), pages 135-149, January.
    4. Martin R. Young, 1998. "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, INFORMS, vol. 44(5), pages 673-683, May.
    5. Elton, Edwin J. & Gruber, Martin J., 1997. "Modern portfolio theory, 1950 to date," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1743-1759, December.
    6. Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
    7. Ravi Kashyap, 2024. "The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments," Papers 2407.09536, arXiv.org.
    8. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1683, August.
    9. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    10. Li, Han-Lin & Tsai, Jung-Fa, 2008. "A distributed computation algorithm for solving portfolio problems with integer variables," European Journal of Operational Research, Elsevier, vol. 186(2), pages 882-891, April.
    11. Heuts, R.M.J., 1978. "Portfolio models and time series analysis," Other publications TiSEM 48458631-edc8-42e9-8359-4, Tilburg University, School of Economics and Management.
    12. Kondor, Imre & Pafka, Szilard & Nagy, Gabor, 2007. "Noise sensitivity of portfolio selection under various risk measures," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1545-1573, May.
    13. Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies [Portfolio selection: comparison of different strategies]," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
    14. Fang, Yong & Lai, K.K. & Wang, Shou-Yang, 2006. "Portfolio rebalancing model with transaction costs based on fuzzy decision theory," European Journal of Operational Research, Elsevier, vol. 175(2), pages 879-893, December.
    15. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
    16. Castro, F. & Gago, J. & Hartillo, I. & Puerto, J. & Ucha, J.M., 2011. "An algebraic approach to integer portfolio problems," European Journal of Operational Research, Elsevier, vol. 210(3), pages 647-659, May.
    17. Chen, Wei & Zhang, Haoyu & Jia, Lifen, 2022. "A novel two-stage method for well-diversified portfolio construction based on stock return prediction using machine learning," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    18. Mansini, Renata & Speranza, Maria Grazia, 1999. "Heuristic algorithms for the portfolio selection problem with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 114(2), pages 219-233, April.
    19. Angelelli, Enrico & Mansini, Renata & Speranza, M. Grazia, 2008. "A comparison of MAD and CVaR models with real features," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1188-1197, July.
    20. Huang, Jinbo & Li, Yong & Yao, Haixiang, 2018. "Index tracking model, downside risk and non-parametric kernel estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 103-128.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:39:y:2007:i:11:p:1399-1407. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.