investor's utility in portfolio rebalancing strategies
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
Choosing an appropriate strategy for portfolio rebalancing is a crucial matter in today's financial markets with logarithmic and high frequency transactions. In log-optimal approach named also active strategy, portfolio rebalancing is a continuous time process and the optimality of such strategy is assured only for very long-term investment horizons. But continuous-time rebalancing is impractical and portfolios have finite horizon usually. In this article we will introduce another strategy with less rebalancing frequency to attain log-optimal utility at least, because of costly and infeasibility of continuous rebalancing for investors. Then we will implement these strategies on a portfolio consist of several Tehran exchange stocks. The results showed that «Hybrid Rebalancing Strategy» offers more utility for investors in comparison to other strategies.
Keywords:
Language:
Persian
Published:
Financial Knowledge of Securities Analysis, Volume:11 Issue: 40, 2019
Pages:
173 to 187
https://magiran.com/p1933120
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