Legal Restrictions on Portfolio Holdings: Some Empirical Results

Hlouskova, JaroslavaORCID: and Lee, Gabriel S. (January 2001) Legal Restrictions on Portfolio Holdings: Some Empirical Results. Former Series > Working Paper Series > IHS Economics Series 93


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Abstract: 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.;

Item Type: IHS Series
Keywords: 'Upper bound constraint' 'Portfolio holdings' 'Parametric quadratic programming'
Classification Codes (e.g. JEL): C61, G11
Date Deposited: 26 Sep 2014 10:37
Last Modified: 08 Apr 2024 13:47
ISBN: 1605-7996

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