Please use this identifier to cite or link to this item: http://hdl.handle.net/2440/102216
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dc.contributor.authorGlabadanidis, P.en
dc.date.issued2016en
dc.identifier.citationJournal of Asset Management, 2016; 17(7):486-501en
dc.identifier.issn1470-8272en
dc.identifier.issn1479-179Xen
dc.identifier.urihttp://hdl.handle.net/2440/102216-
dc.description.abstractI propose a novel investment objective for portfolios fully invested in risky assets only. The new objective is based on achieving the highest possible excess return per unit of variance. The optimal portfolio is a linear combination of the tangent portfolio and the minimum variance portfolio where the weights are inversely proportional to the standard deviation of the return of each portfolio. Using a standard factor model of securities’ returns, I provide an empirical application of the optimal portfolio and show that it performs quite well out-of-sample relative to the maximum Sharpe ratio portfolio as well as the minimum variance portfolio.en
dc.description.statementofresponsibilityPaskalis Glabadanidisen
dc.language.isoenen
dc.publisherPalgrave Macmillanen
dc.rights© Palgrave Macmillan, a division of Macmillan Publishers Ltd 2016en
dc.subjectRisk premia; tracking error; active return; tangent portfolio weights; minimum variance portfolio weights; factor models of expected returnsen
dc.titleMaximizing excess return per unit variance: a novel investment management objectiveen
dc.typeJournal articleen
dc.identifier.rmid0030056723en
dc.identifier.doi10.1057/jam.2016.11en
dc.identifier.pubid274646-
pubs.library.collectionBusiness School publicationsen
pubs.library.teamDS05en
pubs.verification-statusVerifieden
pubs.publication-statusPublisheden
Appears in Collections:Business School publications

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