%0 Journal Article %A Andreas C. Christofi %A Panayiotis Theodossiou %A Andreas Pericli %T Time-Varying Risk and Return in Global Portfolio Management %D 1999 %R 10.3905/joi.1999.319430 %J The Journal of Investing %P 62-69 %V 8 %N 4 %X This article examines the usefulness of an active portfolio strategy that uses time-varying parameters produced by a GARCH methodology. The results suggest that such a strategy outperforms alternative buy-and-hold strategies. When transaction costs are extended to include the bid-ask spread, investors can profit from adding low-cost levered positions, such as futures indexes, to their portfolios of equities. %U https://joi.pm-research.com/content/iijinvest/8/4/62.full.pdf