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Do aggressive funds reallocate their portfolios aggressively?

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  • Kevin C. H. Chiang
  • Xiyu (Thomas) Zhou

Abstract

This study examines pairs of asset allocation mutual funds that are controlled for all informational attributes, except for the level of risk aversion. Standard mean‐variance models of portfolio choice suggest that the percentage rebalancing of common stocks in aggressive funds would be the same as that in conservative funds. However, this study finds the rebalancing of common stocks in aggressive funds to be disproportionally less intense.

Suggested Citation

  • Kevin C. H. Chiang & Xiyu (Thomas) Zhou, 2009. "Do aggressive funds reallocate their portfolios aggressively?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 481-503, September.
    • Handle: RePEc:bla:acctfi:v:49:y:2009:i:3:p:481-503
    DOI: 10.1111/j.1467-629X.2009.00300.x
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    References listed on IDEAS

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