Melkumian, Alla A; Melkumian, Arsen V - In: Eastern Economic Journal 35 (2009) 1, pp. 84-95
A restriction on portfolio size results in welfare losses for investors. To measure these welfare losses, we compare n-asset optimal portfolios with 26-asset optimal portfolios using the concept of proportionate opportunity cost. The original historical asset returns data are used with a VAR in...