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Essays on asset and portfolio management : rethinking portfolio rebalancing
Wittig, Hagen - 2015
value-based rebalancing framework by setting the bandwidth weights in a non-static manner depending on current market … comparison to a buy and hold strategy, an idealized SAA strategy, as well as a rebalancing strategy with static bandwidths but …. In the second article, we present a rebalancing approach which applies the various asset classes' risk contributions to …
Persistent link: https://www.econbiz.de/10011418707
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On the distribution and estimation of trading costs
Kourtis, Apostolos - In: Journal of empirical finance 28 (2014), pp. 104-117
Persistent link: https://www.econbiz.de/10011285084
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Where is the value added of rebalancing? : a systematic comparison of alternative rebalancing strategies
Dichtl, Hubert; Drobetz, Wolfgang; Wambach, Martin - In: Financial markets and portfolio management 28 (2014) 3, pp. 209-231
Persistent link: https://www.econbiz.de/10010399419
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Choosing an optimal investment strategy : the role of robust pair-copulas based portfolios
Mendes, Beatriz Vaz de Melo; Maruqes, Daniel S. - In: Emerging markets review 13 (2012) 4, pp. 449-464
Persistent link: https://www.econbiz.de/10009675835
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Portfolio rebalancing model with transaction costs using interval optimization
Kumar, Pankaj; Panda, Geetanjali; Gupta, U. C. - In: Opsearch : journal of the Operational Research Society … 52 (2015) 4, pp. 827-860
Persistent link: https://www.econbiz.de/10011446092
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On mutual funds-of-ETFs asset allocation with rebalancing : sample covariance versus EWMA and GARCH
Xidonas, Panos; Tsionas, Mike; Zopounidis, Constantin - 2020
Persistent link: https://www.econbiz.de/10012165614
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Rebalancing versus buy and hold : theory, simulation and empirical analysis
Hilliard, Jimmy E.; Hilliard, Jitka - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011979088
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Optimal construction and rebalancing of index-tracking portfolios
Strub, O.; Baumann, Philipp - In: European journal of operational research : EJOR 264 (2018) 1, pp. 370-387
Persistent link: https://www.econbiz.de/10011801727
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Personalized multiple account portfolio optimization
Idzorek, Thomas M. - In: Financial analysts journal : FAJ 79 (2023) 3, pp. 155-170
Persistent link: https://www.econbiz.de/10014321644
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Does constant asset allocation dominate buy-and-hold?
Levy, Moshe - In: Finance research letters 62 (2024) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10014531113