Portfolio Performance: A Scenario Analysis of Portfolio Optimization & Alpha Investigation
Optimization of a portfolio involves the efficient allocation of assets given a specific goal and its application to a portfolio will improve performance to some degree. Combining alpha calculation and analysis with optimization may enhance this improved portfolio performance. Thus, it can be assumed that portfolio re-balancing is worth the cost over time. This relationship may be explained by the significance of a security’s alpha and the goals of an optimization scenario.
Journal of Applied Financial Research
Mulugetta, Abraham and Hart, Rachel, Portfolio Performance: A Scenario Analysis of Portfolio Optimization & Alpha Investigation (2012). Journal of Applied Financial Research. Vol II, 2012, 9-18. Available at SSRN: https://ssrn.com/abstract=2627853