Some Comments Concerning Mutual Fund Vs Random Portfolio Performance
Some Comments Concerning Mutual Fund Vs Random Portfolio Performance
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2 For large institutional investors a significant component of the trans- actions cost is the price spread involved in buying or selling large quanti- ties of stocks.
•^Our detailed justification for this remark is contained in Part III of this paper.
12 virtually non-existent^ we shall not pursue this discussion further.
We now come to the second comment that we originally made in regard to the Friend and Vickers Journal of Finance paper. It was focussed on a number of statements^, which are c...haracterized by the following excerpt from their conclusion. "This paper^ in addition^, points up the dangers of using past measures of return and variance as a basis for portfolio selec- tion^ or of assuming that the procedures for portfolio selection outlined by Markowitz provide any clues to future investment performance, " In our paper we stated that our evidence was contradictory to this strong con- 2 elusion.
Friend and Vickers have stated that our critism is without foundation^ They further state "Some of the same points presented in connection with our discussion of their first criticism of our paper indicate why we do not find their analysis completely convincing with respect to the ex post per- formance of the ex ante efficient versus random portfolios.
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To quickly assess the difficulty of the text, read a short excerpt:
2 For large institutional investors a significant component of the trans- actions cost is the price spread involved in buying or selling large quanti- ties of stocks.
•^Our detailed justification for this remark is contained in Part III of this paper.
12 virtually non-existent^ we shall not pursue this discussion further.
We now come to the second comment that we originally made in regard to the Friend and Vickers Journal of Finance paper. It was focussed on a number of statements^, which are c...haracterized by the following excerpt from their conclusion. "This paper^ in addition^, points up the dangers of using past measures of return and variance as a basis for portfolio selec- tion^ or of assuming that the procedures for portfolio selection outlined by Markowitz provide any clues to future investment performance, " In our paper we stated that our evidence was contradictory to this strong con- 2 elusion.
Friend and Vickers have stated that our critism is without foundation^ They further state "Some of the same points presented in connection with our discussion of their first criticism of our paper indicate why we do not find their analysis completely convincing with respect to the ex post per- formance of the ex ante efficient versus random portfolios.
What to read after Some Comments Concerning Mutual Fund Vs Random Portfolio Performance?
You can find similar books in the "Read Also" column, or choose other free books by Kalman J Cohen to read onlineMoreLess
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