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Models and Simulations for Portfolio Rebalancing

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Author Info

  • Gianfranco Guastaroba

    ()

  • Renata Mansini

    ()

  • M. Speranza

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10614-008-9158-y
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    Bibliographic Info

    Article provided by Society for Computational Economics in its journal Computational Economics.

    Volume (Year): 33 (2009)
    Issue (Month): 3 (April)
    Pages: 237-262

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    Handle: RePEc:kap:compec:v:33:y:2009:i:3:p:237-262

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    Web page: http://www.springerlink.com/link.asp?id=100248
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    Related research

    Keywords: Risk management; Conditional value at risk; Portfolio rebalancing; Multi-period portfolio analysis; Mixed integer linear programming;

    References

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    1. Elton, Edwin J & Gruber, Martin J, 1974. "On the Optimality of Some Multiperiod Portfolio Selection Criteria," The Journal of Business, University of Chicago Press, vol. 47(2), pages 231-43, April.
    2. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    3. Nitin R. Patel & Marti G. Subrahmanyam, 1982. "A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs," Management Science, INFORMS, vol. 28(3), pages 303-314, March.
    4. Duan Li & Wan-Lung Ng, 2000. "Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 387-406.
    5. Gerard Gennotte & Alan Jung, 1994. "Investment Strategies under Transaction Costs: The Finite Horizon Case," Management Science, INFORMS, vol. 40(3), pages 385-404, March.
    6. Martin R. Young, 1998. "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, INFORMS, vol. 44(5), pages 673-683, May.
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    Cited by:
    1. Björn Fastrich & Peter Winker, 2012. "Robust portfolio optimization with a hybrid heuristic algorithm," Computational Management Science, Springer, vol. 9(1), pages 63-88, February.

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