Recursive Portfolio Management: Large-Scale Evidence from Two Scandinavian Stock Markets

Ralf Ostermark and Jaana Aaltonen

Computer Science in Economics & Management, 1992, vol. 5, issue 2, 81-103

Abstract: In the present study, the authors present evidence on the efficiency of a recursive linear portfolio management system. Extensive tests have been performed using data from two Scandinavian stock markets. The optimal ex-ante investment strategies generated by the system yield a yearly return on investment of 75 to 80 percent when using a forecasting horizon of three to five days. The computational efficiency of the system can be improved considerably by using a faster optimization algorithm. Citation Copyright 1992 by Kluwer Academic Publishers.

Date: 1992
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