| Article ID: | iaor20012380 |
| Country: | United Kingdom |
| Volume: | 11 |
| Issue: | 2 |
| Start Page Number: | 127 |
| End Page Number: | 138 |
| Publication Date: | Mar 2000 |
| Journal: | IMA Journal of Mathematics Applied in Business and Industry |
| Authors: | Adcock C.J. |
| Keywords: | risk, investment |
This paper presents a theoretical treatment of the statistical properties of optimal portfolios. The results demonstrate the way in which the statistical properties of forecast returns affect the performance of optimised portfolios. The paper then indicates how these methods may be used in principle to control the performance of an optimised portfolio. This is exemplified by an optimal portfolio of foreign currencies.