investor's utility in portfolio rebalancing strategies

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Validi Alireza; AGHABABAEI MOHAMMAD EBRAHIM

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:11 | Issue:40 Page(s): 173-187

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Information Journal Paper

Title

investor's utility in portfolio rebalancing strategies

Author(s)

Validi Alireza | AGHABABAEI MOHAMMAD EBRAHIM | Issue Writer Certificate

Keywords

Portfolio RebalancingQ2

Rebalancing FrequencyQ2

Log-optimal ApproachQ2

Hybrid Rebalancing StrategyQ2

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.

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APA: Copy

Validi, Alireza, & AGHABABAEI, MOHAMMAD EBRAHIM. (2019). investor's utility in portfolio rebalancing strategies. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(40 ), 173-187. SID. https://sid.ir/paper/200354/en

Vancouver: Copy

Validi Alireza, AGHABABAEI MOHAMMAD EBRAHIM. investor's utility in portfolio rebalancing strategies. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;11(40 ):173-187. Available from: https://sid.ir/paper/200354/en

IEEE: Copy

Alireza Validi, and MOHAMMAD EBRAHIM AGHABABAEI, “investor's utility in portfolio rebalancing strategies,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 40 , pp. 173–187, 2019, [Online]. Available: https://sid.ir/paper/200354/en

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