Optimum allocation of weights to assets in a portfolio: the case of nominal annualization versus effective annualization of returns
Chun-Hao Chang,
Brice DuPoyet and
Arun Prakash
Applied Financial Economics, 2008, vol. 18, issue 20, 1635-1646
Abstract:
Based on several research studies and in particular the theoretical study of Prakash et al. (1997), it is known that the variance as well as the skewness of the probability distribution of rates of return increases if the investors-investment interval increases. In the present study, using the portfolio selection procedure deveoloped by Lai (1991) under the presence of skewness and subsequently used by Chunhachinda et al. (1997) and Prakash et al. (2003), we find that the selection of investment interval (e.g. daily versus weekly versus monthly) significantly changes not only the optimal allocation of weights, but also the number of markets selected in the portfolio.
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100701720427 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:18:y:2008:i:20:p:1635-1646
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20
DOI: 10.1080/09603100701720427
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().