Optimal rebalancing frequencies for multidimensional portfolios
نویسندگان
چکیده
منابع مشابه
optimal Rebalancing for Institutional Portfolios
WtNTER 2006 I nstitutional money managers develop risk models and optimal portfolios to match a desired risk/reward profile. Utility functions express risk preferences and implicitly reflect the views of fund trustees or directors. Once a manager determines a target portfolio, maintaining this balance of assets is non-trivial. A manager must rebalance actively because different asset classes ca...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2017
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-017-0200-5