Portfolio rebalancing model using multiple criteria
AbstractIn order to achieve greater flexibility in portfolio selection, transaction cost, short selling and higher moments should be considered, and actual transactions should be reflected. In this paper, five portfolio rebalancing models, with consideration of transaction cost and consisting of some or all criteria, including risk, return, short selling, skewness, and kurtosis, are compared to determine the important design criteria for a portfolio model. Two examples are used to perform simulated transactions, and the results indicate that the investment strategy of 'buy and hold' does not produce better returns for all the portfolios in the first example, and the models with higher moments or adopting short selling strategy perform better while rebalancing in the second example.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 209 (2011)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/eor
Portfolio selection Short selling Skewness Kurtosis Transaction cost;
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