Title

Portfolio Performance: A Scenario Analysis of Portfolio Optimization & Alpha Investigation

Document Type

Article

Publication Date

7-9-2012

Abstract

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.

Publication Name

Journal of Applied Financial Research

Volume Number

11

First Page

9

Last Page

18