Optimal Portfolios For Different Holding Periods

Choi, Byeongyong Paul; Mukherji, Sandip

doi:10.19030/jber.v8i10.768

Cited by 6 publications

(4 citation statements)

References 10 publications

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“…This shows that depending on the increase in the financial literacy levels of the investors, the holding time of the stock is prolonged. These results support the work of Jack (Choi, & Mukherji, 2010;Chakrabarty et. al.…”

Section: Conclusion and Evaluationsupporting

confidence: 92%

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In the Context of Behavioral Finance, Do Investor Characteristics Affect Stock Holding Period?

Pilatin

2022

Kafkas Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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The aim of this study is to determine whether the holding period of stocks varies according to the socio-economic characteristics of the investors. According to the logit model results, it has been determined that there is a significant relationship between the variables of BIST investors' occupation, the type of asset most invested in, the number of years invested in stocks, the annual stock investment amount and the variables of following the market every day and the period of holding the stock. The results reveal that those who invest in foreign currency are 0,172 times less likely to hold their stocks than those who have invested in shares and in terms of the time it takes to start investing in stocks, those who have invested for 1 to 3 years are 1,72 times more likely to hold the stock than those who have invested for less than 1 year. It shows that those who have invested for 3 to 6 years are 2.5 times more likely to hold the stock than those who have invested for less than 1 year.

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Section: Conclusion and Evaluationsupporting

confidence: 92%

“…Despite this, 580 survey data were used in the study to provide a better representation of the population. While creating the questionnaire questions, few studies in the literature were used (Choi & Mukherji, 2010;Estrada, 2014;Lyle & Wang, 2015;Karabay, 2018).…”

Section: Sample Size and Selectionmentioning

confidence: 99%

In the Context of Behavioral Finance, Do Investor Characteristics Affect Stock Holding Period?

Pilatin

2022

Kafkas Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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“…they converges to 0 when number of included observations tends to infinity. According to Choi and Mukherji (2010), supporters of time investment portfolio diversifications suggest a decrease of stock return volatility when comes to a certain increase of included observations. Cogneau and Zakamouline (2010) accept the fact that time period is one of the crucial in defining an optimal portfolio allocation.…”

Section: Testing Portfolio Sensitivity For Investment Period Lengthmentioning

confidence: 99%

Testing The Performance Of The Investment Portfolio Using Block Bootstrap Method

Radovanov

Marcikić

2014

Economic Themes

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The aim of this paper is to create a stable model of investment portfolio optimization through a high degree of diversification and reduction of sudden changes in the allocation with monitoring of the dynamics of the impact factor. In this sense, there is bootstrap application procedure, which, without an excessive number of constraints involved in the optimization process provides solutions based on uncertain information. Thus defined, the optimization method has been patented by Michaud (1999) entitled re-sampled efficiency. Accordingly, this paper offers a comparison of the performance block bootstrap optimization models and traditional Markowitz's model inside and outside of the sample by applying the most frequently traded stocks on the BSE. The results show a better performance out of the sample and the presence of a larger number of shares forming the portfolio through bootstrap methodology. However, only through the traditional optimization process could be attained optimum according to the required limits. Such effects can be observed by comparing the limits of efficiency obtained through these optimization models. However, optimization-based methods bootstrap finds its place in reducing errors of assessment resulting from the limited sample size.

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“…The primary purpose of the subject research is to analyze hotel investment risk based on annual gross operating profit (GOP) of over 3,000 hotels during the course of six recent years, focusing on measuring hotel risk by using GOP profit margin, GOP per available room (GOPPAR), and relative standard deviation of GOP (GOP RSD). While previous research has acknowledged that having approximately 30 points of data regarding the holding period (HP) may be desired (Choi & Mukherji, 2010; Mukherji, 2003), recent research has shown a significant decrease in the HP (Poretti & Das, 2020). For example, Poretti and Das (2020) noted that the HP of hotels has been decreasing in recent years from approximately 15 years to approximately 5 to 8 years.…”

Section: Introductionmentioning

confidence: 99%

Benchmarking Hotel Investment Risk: Differences Based on Types of Hotels

O’Neill

Liu

Caligiuri

2023

Cornell Hospitality Quarterly

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Commercial real estate (CRE) investment involves risk, and hotels are perceived as the riskiest CRE assets because of the high turnover of guest room occupants and are the most operation-intensive of all types of CRE properties. Furthermore, that risk may vary significantly across types of hotels based on different dimensions. The existing academic literature regarding CRE investment performance generally lacks such investigation of hotels at the establishment level. The purpose of the current study is to investigate the volatility of operating profit (risk) of different types of hotel assets. Using relative standard deviations of historical performance (gross operating profit [GOP]) to measure hotel risk, we examine various property characteristics and the extent to which they affect the volatility of GOP at the unit level from 2015 through 2020 of over 3,000 U.S. hotel properties. We find that different types of hotels have carried different levels of risk. Specifically, we find significant differences in risk based on hotel brand affiliation status, class, property type, location type, region in which the hotels are located, age of the hotels, size of the hotels, and their occupancy and average daily rate levels. This study provides practitioners and researchers with an understanding regarding the relationships between the risk of different types of hotels, and provides practitioners with information regarding risk and a benchmarking methodology that may be applied to evaluate risk to aid hotel investment decisions. Furthermore, we provide researchers with information regarding various hotel characteristics that may lead to relatively greater/lesser risk.

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Optimal Portfolios For Different Holding Periods

Abstract: ABSTRACT

Cited by 6 publications

References 10 publications

In the Context of Behavioral Finance, Do Investor Characteristics Affect Stock Holding Period?

In the Context of Behavioral Finance, Do Investor Characteristics Affect Stock Holding Period?

Testing The Performance Of The Investment Portfolio Using Block Bootstrap Method

Benchmarking Hotel Investment Risk: Differences Based on Types of Hotels

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