Legal Restrictions on Portfolio Holdings: Some Empirical Results
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.
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Green, Richard C & Hollifield, Burton, 1992.
" When Will Mean-Variance Efficient Portfolios Be Well Diversified?,"
Journal of Finance,
American Finance Association, vol. 47(5), pages 1785-809, December.
- Green, R.C. & Hollifield, B., 1990. "When Will Mean-Variance Efficient Portfolios Be Well Diversified?," GSIA Working Papers 1990-12, Carnegie Mellon University, Tepper School of Business.
- Best, Michael J & Grauer, Robert R, 1985. " Capital Asset Pricing Compatible with Observed Market Value Weights," Journal of Finance, American Finance Association, vol. 40(1), pages 85-103, March.
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