RT Journal Article
SR Electronic
T1 Time-Varying Risk and Return in Global Portfolio Management
JF The Journal of Investing
FD Institutional Investor Journals
SP 62
OP 69
DO 10.3905/joi.1999.319430
VO 8
IS 4
A1 Andreas C. Christofi
A1 Panayiotis Theodossiou
A1 Andreas Pericli
YR 1999
UL https://pm-research.com/content/8/4/62.abstract
AB 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.