Rebalancing with Linear and Quadratic 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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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: SIAM Journal on Control and Optimization
سال: 2017
ISSN: 0363-0129,1095-7138
DOI: 10.1137/15m1043406