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Efficient Portfolio Selections beyond the Markowitz Frontier

Published online by Cambridge University Press:  19 October 2009

Pao Lun Cheng
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Extract

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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 5 , December 1971 , pp. 1207 - 1234
Copyright
Copyright © School of Business Administration, University of Washington 1971

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