The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel
نویسندگان
چکیده
منابع مشابه
heterogeneity within the orientalist discourse: representation of the orient in womens travelogues and mens paintings
from 1950s onward, new theories and critical approaches burgeoned across humanities. these theories were context-oriented; as a result, the analysis of discursive practices gained significance. thus, social, political, historical and cultural discourses that have been hitherto marginalized and considered inferior to literary texts, were introduced as important texts to be analyzed by critics. o...
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Portfolio Rebalancing in Theory and Practice
• Determining an effective rebalancing strategy is a function of the portfolio’s assets: their expected returns, their volatility, and the correlation of their returns. For example, a high correlation among the returns of a portfolio’s assets means that they tend to move together, which will tend to reduce the need for rebalancing. In addition, the investment time horizon affects the rebalancin...
متن کاملCapital Gains Taxes and Portfolio Rebalancing
The major friction that investors face in rebalancing their portfolios is capital gains taxes, which are triggered by the sale of assets. In this article, we examine the impact of an investor’s capital gains tax liability and existing risk exposure upon the optimal portfolio and rebalancing decisions. We capture the trade-off over the investor’s lifetime between the tax costs and diversificatio...
متن کاملTransaction fees and optimal rebalancing in the growth-optimal portfolio
The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an optimal period of portfolio rebalancing. The optimal period is found analytically in the case of log...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Corporate Finance
سال: 2019
ISSN: 0929-1199
DOI: 10.1016/j.jcorpfin.2018.12.004