Optimal portfolios: are they optimal for the long run?

• Autores: R. Aroskar, W. A. Ogden
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 21, Nº. 10-12, 2011, págs. 763-770
• Idioma: inglés
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• Resumen

  • This study analyses the potential for diversification among assets as suggested by modern portfolio theory. It uses Johansen's cointegration methodology to identify long-term relationships among assets. We compare results from optimized portfolios constructed from samples of country funds and iShares with portfolios from the same samples but not optimized. The optimized portfolios exhibit diversification potential while the nonoptimized portfolios do not.