Mixed Security Testing of Alternative Portfolio Selection Models

Alexander, Gordon J.

doi:10.2307/2330258

Cited by 12 publications

(4 citation statements)

References 14 publications

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“…Previous studies of multi‐asset portfolios have concentrated solely on U.S. assets. Alexander (1977) found that combining U.S. stocks and bonds resulted in improved risk/return opportunities at risk levels less than that of the market portfolio.…”

Section: Cip Eqv R̄ σ2 R̄ σ2mentioning

confidence: 99%

International Diversification of Equities and Fixed‐income Securities

Hill

Schneeweis

1983

J of Financial Research

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Portfolio selection models have been applied principally to common stocks traded in the United States and in foreign stock markets. This study examines the efficient set of portfolios selected from a choice set that includes returns derived from domestic and international corporate bond and government bond indices as well as domestic and international stock indices. To assess the benefits of international multi‐asset diversification, the authors examine the following issues: (1) the extent to which international and domestic fixed‐income securities are included in efficient portfolios; (2) the effect on efficient set composition of using the Sharpe portfolio selection model as compared to the Markowitz portfolio selection model; (3) the sensitivity of efficient set characteristics produced from a single‐index based portfolio selection model to alternative world market indices; and (4) the correspondence between expected and realized portfolio risk and return for the different portfolio selection models.

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Section: Cip Eqv R̄ σ2 R̄ σ2mentioning

confidence: 99%

International Diversification of Equities and Fixed‐income Securities

Hill

Schneeweis

1983

J of Financial Research

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“…A f n = A t-1 < 1+r a 5 + '\-l +SC t-l' < 1+ 9ct J " V l ( 1 + Alexander [1]. Securities were grouped using a cluster analysis approach suggested by Frankfurter and Phillips [7] to reduce the estimation error in the 9 market model estimates.…”

Section: A Model Inputsmentioning

confidence: 99%

A Normative Approach to Pension Fund Management

Frankfurter¹,

Hill²

1981

The Journal of Financial and Quantitative Analysis

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“…These assumptions have not caused a great deal of difficulty for common stock analyses. The violation of the second assumption, however, has led Gouldey and Gray (1981) and Alexander (1977) to argue that this set of equations that relies on the time series data of individual securities cannot form Markowitz expectations in the bond market. Given the special relationship between bond price and maturity, the fact that the maturity decreases over time means that the distribution of returns for any bond is not stationary.…”

Section: Introductionmentioning

confidence: 99%

“…In a multi‐asset framework, Alexander (1977), Hill and Schneeweis (1983), and others have used long‐term corporate bond indices among their samples. No work uses individual corporate bonds to test the performance of the Markowitz allocation.…”

Section: Introductionmentioning

confidence: 99%

Markowitz Allocation–fixed Income Securities

Barnes

1985

J of Financial Research

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The Markowitz allocation model has not been properly tested with individual corporate bonds. Several authors have argued theoretically that the expectations necessary for the model cannot be formed from ex post time series data because the distribution of bond returns is not stationary. A methodology under which corporate bonds can be included in tests of the Markowitz model is presented in this study. Five sets of naive expectations are used, and as the distribution problem is removed from the data, the risk-adjusted performance of the Markowitz model becomes potentially very useful.

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Mixed Security Testing of Alternative Portfolio Selection Models

Cited by 12 publications

References 14 publications

International Diversification of Equities and Fixed‐income Securities

International Diversification of Equities and Fixed‐income Securities

A Normative Approach to Pension Fund Management

Markowitz Allocation–fixed Income Securities

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