Markowitz Portfolio Rebalancing with Turnover Monitoring
نویسندگان
چکیده
Portfolio management starts with asset allocation. There is a consensus that asset allocation plays an important role in determining portfolio performance (Arshanapalli, Coggin & Nelson, 2001). Active portfolio management implies the rebalancing of the existing portfolio by buying and selling assets. The aim of rebalancing is to improve the performance of the managed portfolio by adjusting it to the current market conditions. However, portfolio rebalancing induces transaction costs which impact the overall portfolio return. Therefore, transaction costs must be considered when the aim is to develop dynamic portfolio models that perform satisfactorily under the real market conditions (Choi, Jang & Koo, 2007; Kozhan & Schmid, 2009).
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