Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71204
Authors: 
Hlouskova, Jaroslava
Lee, Gabriel S.
Year of Publication: 
2001
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 93
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.
Subjects: 
upper bound constraint
portfolio holdings
parametric quadratic programming
JEL: 
C61
G11
Document Type: 
Working Paper

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