PT - JOURNAL ARTICLE AU - Andreas C. Christofi AU - Panayiotis Theodossiou AU - Andreas Pericli TI - Time-Varying Risk and Return in Global Portfolio Management AID - 10.3905/joi.1999.319430 DP - 1999 Nov 30 TA - The Journal of Investing PG - 62--69 VI - 8 IP - 4 4099 - https://pm-research.com/content/8/4/62.short 4100 - https://pm-research.com/content/8/4/62.full 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.