@article {Christofi62, author = {Andreas C. Christofi and Panayiotis Theodossiou and Andreas Pericli}, title = {Time-Varying Risk and Return in Global Portfolio Management}, volume = {8}, number = {4}, pages = {62--69}, year = {1999}, doi = {10.3905/joi.1999.319430}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article examines the usefulness of an active portfolio strategy that uses time-varying parameters produced by a GARCH methodology. The results suggest that such a strategy outperforms alternative buy-and-hold strategies. When transaction costs are extended to include the bid-ask spread, investors can profit from adding low-cost levered positions, such as futures indexes, to their portfolios of equities.}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/8/4/62}, eprint = {https://joi.pm-research.com/content/8/4/62.full.pdf}, journal = {The Journal of Investing} }