The effect of investment horizon on optimum portfolio rebalancing frequency in portfolios of stocks listed on Tehran Stock Exchange with short-selling

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Validi Alireza; validi javad

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Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:7 | Issue:28 Page(s): 175-195

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Title

The effect of investment horizon on optimum portfolio rebalancing frequency in portfolios of stocks listed on Tehran Stock Exchange with short-selling

Author(s)

Validi Alireza | validi javad | Issue Writer Certificate

Keywords

Portfolio rebalancingQ1

log-optimal strategyQ1

optimum rebalancing functionQ1

semi-active strategyQ1

Abstract

In active Portfolio rebalancing strategy so called log-optimal Portfolio rebalancing strategy, rebalancing is executed continuously so that utility function achieves to its maximum value. But the implementation of this strategy is impossible for its high transaction costs. In this article, we introduce another strategy to get utility of active strategy at least by using active strategy parameters. on the other hand, choosing the optimum rebalancing frequency depends on the investment horizon. Choosing the best rebalancing frequency among the all possible ones for each given investment horizon is the main purpose of this article. So we first introduce different rebalancing strategies and then semi-active one to obtain the optimum frequency as a function of investment horizon. Implementation of this model is based on neglecting the short-selling constraint in Iran stock market. Implementation results on a real portfolio in Tehran stock exchange showed that choosing the optimum frequency is more sensitive for short horizons. And also using this frequency in semi-active strategy will increase the value of utility function in comparison to active strategy.

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APA: Copy

Validi, Alireza, & validi, javad. (2019). The effect of investment horizon on optimum portfolio rebalancing frequency in portfolios of stocks listed on Tehran Stock Exchange with short-selling. INVESTMENT KNOWLEDGE, 7(28 ), 175-195. SID. https://sid.ir/paper/188170/en

Vancouver: Copy

Validi Alireza, validi javad. The effect of investment horizon on optimum portfolio rebalancing frequency in portfolios of stocks listed on Tehran Stock Exchange with short-selling. INVESTMENT KNOWLEDGE[Internet]. 2019;7(28 ):175-195. Available from: https://sid.ir/paper/188170/en

IEEE: Copy

Alireza Validi, and javad validi, “The effect of investment horizon on optimum portfolio rebalancing frequency in portfolios of stocks listed on Tehran Stock Exchange with short-selling,” INVESTMENT KNOWLEDGE, vol. 7, no. 28 , pp. 175–195, 2019, [Online]. Available: https://sid.ir/paper/188170/en

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