Autocorrelation, investment horizon and efficient frontier composition
By: John E. Gilster, Jr
Contributors: University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Series: Faculty working papers -- no. 528; Faculty working papers -- no. 528.
Publisher: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign
Published: 1978
Place of publication: [Urbana, Ill.]
Language: eng
Number of pages: 31
Description: "This paper demonstrates that modest amounts of security autocorrelation can cause the composition of an efficient frontier constructed on the basis of one holding period length assumption to differ substantially from the composition of an efficient frontier constructed on the basis of another holding period length assumption. This will be true even if the efficient frontiers are constructed using the same data base over the same total time span. This finding is derived mathematically and demonstrated empirically. The paper discusses the serious consequences of this finding."
Notes: Includes bibliographical references (p. 30-31).