PORTFOLIO STRATEGIES - Optimal Rebalancing for Institutional Portfolios - 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 ...
Year of publication: |
2006
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Authors: | Sun, Walter ; Fan, Ayres ; Chen, Li-Wei ; Schouwenaars, Tom ; Albota, Marius A. |
Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Vol. 32.2006, 2, p. 33-43
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