In this study, I investigate optimal holding period (investment horizon) for the classical mean-variance portfolio optimization problem. Optimal holding period ex-post is determined using Istanbul Stock Exchange ISE-100 index stocks and Athens Stock Exchange FTSE-40 index stocks data. I extend the approach to other downside risk criteria including expected loss and semi-variance. The analysis involves solving the portfolio optimization problem for a total of 648 cases - two stock exchanges, three different target return levels, three different risk measures and 36 different time periods with rolling data. I discuss the results from the view point of two neighbouring markets: one with an upward trend and the other with a downward trend. The results show that portfolio returns with varying holding periods have a convex structure with an optimal holding period.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.