Optimal Rebalancing for Institutional Portfolios

Autor:	Li-Wei Chen, Walter Sun, Ayres C. Fan, Tom Schouwenaars, Marius A. Albota
Rok vydání:	2006
Předmět:	Transaction cost Economics and Econometrics Mathematical optimization Computer science Accounting media_common.quotation_subject Monte Carlo method Data_FILES Function (engineering) General Business Management and Accounting Finance Stochastic programming media_common
Zdroj:	The Journal of Portfolio Management. 32:33-43
ISSN:	2168-8656 0095-4918
DOI:	10.3905/jpm.2006.611801
Popis:	Institutional fund managers generally rebalance using ad hoc methods such as calendar periods or tolerance band triggers. Another approach is to quantify the cost of a rebalancing strategy in terms of risk-adjusted returns net of transaction costs. An optimal rebalancing strategy that actively seeks to minimize that cost uses certainty-equivalents and the transaction costs associated with a policy to define a cost-to-go function. Stochastic programming is then used to minimize expected cost-to-go. Monte Carlo simulations demonstrate that the method outperforms traditional rebalancing strategies such as periodic and 5% tolerance rebalancing.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4d37b4b11d6f2378b061efaa5a39290c https://doi.org/10.3905/jpm.2006.611801 Zobrazit plný text záznamu