Further Exploration Of Global Asset GMVPs: Does Risk Reduction Benefit From Weekly Data?
The paper studies the differences in risk reduction among global minimum variance portfolios (GMVPs) derived from the optimization of weekly and monthly return. This research follows the analysis of Zibri and Kukeli (2014) regarding differences in performance which is measured for different revision...
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| Veröffentlicht in: | The international business & economics research journal 2015-03, Vol.14 (2), p.261 |
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| container_title | The international business & economics research journal |
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| creator | Zibri, Arben Kukeli, Agim |
| description | The paper studies the differences in risk reduction among global minimum variance portfolios (GMVPs) derived from the optimization of weekly and monthly return. This research follows the analysis of Zibri and Kukeli (2014) regarding differences in performance which is measured for different revision frequencies and transaction costs. The data used are weekly/monthly returns for stock, bond, gold, oil indices for the period 1996-2013. If more frequently rebalancing is applied, most restrictive weekly GMVPs reduce risk more than returns vis--vis monthly GMVPs. |
| doi_str_mv | 10.19030/iber.v14i2.9113 |
| format | Article |
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| ispartof | The international business & economics research journal, 2015-03, Vol.14 (2), p.261 |
| issn | 1535-0754 2157-9393 |
| language | eng |
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| source | EZB-FREE-00999 freely available EZB journals |
| subjects | Analysis Benchmarks Costs Economic theory Gold Government bonds International business Optimization Portfolio management Short sales Stock exchanges Studies Volatility |
| title | Further Exploration Of Global Asset GMVPs: Does Risk Reduction Benefit From Weekly Data? |
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