Learning and holding periods for portfolio selection models: A sensitivity analysis

A key issue for applying portfolio selection models in practice is an appropriate choice of learning and holding periods. For this reason some studies in the literature have been devoted to the sensitivity of the selected portfolio performance with respect to either the learning or the holding period. In this paper, an empirical sensitivity analysis of two well-known portfolio selection models is performed for the first time with respect to both the learning and the holding period. In particular, we investigate the outcomes of the Mean-Variance model and of the Mean-Conditional Value-at-Risk model with respect to the length of learning and holding periods for different risk strategies and different rolling time-windows. Weekly data from USA and European stock markets are used, and the inuence of the learning data on the portfolio diversification is also examined. © 2013 Francesco Cesarone, Andrea Gheno and Fabio Tardella.