Optimal rebalancing of portfolios with transaction costs
نویسندگان
چکیده
منابع مشابه
Optimal Rebalancing of Portfolios with Transaction Costs
Rebalancing of portfolios with a concave utility function is considered. It is proved that transaction costs imply that there is a no-trade region where it is optimal not to trade. For proportional transaction costs it is optimal to rebalance to the boundary when outside the no-trade region. With flat transaction costs, the rebalance from outside the no-trade region should be to an internal sta...
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Transaction costs can make it unprofitable to rebalance all the way to the ideal portfolio. A single-period analysis using mean-variance theory provides many interesting insights. With fixed or variable costs, there is a non-trading region within which trading does not pay. With only variable costs, any trading is to the boundary of the non-trading region, while fixed costs induce trading to th...
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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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Online portfolio selection (PS) has been extensively studied in artificial intelligence and machine learning communities in recent years. An important practical issue of online PS is transaction cost, which is unavoidable and nontrivial in real financial trading markets. Most existing strategies, such as universal portfolio (UP) based strategies, often rebalance their target portfolio vectors a...
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Investment portfolios should be rebalanced to take account of changing market conditions and changes in funding. Standard mean-variance (MV) portfolio selection methods are not appropriate for portfolio rebalancing, as the initial portfolio, change in funding and transaction costs are not considered. A quadratic mixed integer programming portfolio rebalancing model, which takes account of these...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2012
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2011.651219