Developing a dynamic portfolio selection model with a self-adjusted rebalancing method
| Autor: | Jongbin Jung, Seongmoon Kim |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Marketing
050208 finance Actuarial science Application portfolio management Investment strategy Computer science Strategy and Management 05 social sciences Management Science and Operations Research Investment (macroeconomics) Stock return Market neutral Management Information Systems Investment portfolio Replicating portfolio 0502 economics and business Econometrics Portfolio Post-modern portfolio theory 050207 economics Portfolio optimization |
| Zdroj: | Journal of the Operational Research Society. 68:766-779 |
| ISSN: | 1476-9360 0160-5682 |
| Popis: | In this paper, we propose a comprehensive investment strategy for not only selecting but also maintaining an investment portfolio that takes into account changing market conditions. First, we implement a dynamic portfolio selection model (DPSM) that uses a time-varying investment target according to market forecasts. We then develop a self-adjusted rebalancing (SAR) method to assess the portfolio’s relevance to current market conditions, and further identify the appropriate timing for rebalancing the portfolio. We then integrate the DPSM and SAR into a comprehensive investment strategy, and develop an adaptive learning heuristic for determining the parameter of the proposed investment strategy. We further evaluate the performance of the proposed investment strategy by simulating investments with historical stock return data from different markets around the world, across a period of 10 years. The SAR Portfolio, maintained according to the proposed investment strategy, showed superior performance compared with benchmarks in each of the target markets. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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