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- W1534461492 abstract "Institutional fund managers generally rebalance using ad hoc methods such as calendar basis or tolerance band triggers. We propose a different framework that quantifies the cost of a rebalancing strategy in terms of risk-adjusted returns net of transaction costs. We then develop an optimal rebalancing strategy that actively seeks to minimize that cost. We use certainty equivalents and the transaction costs associated with a policy to define a cost-to-go function, and we minimize this expected cost-to-go using dynamic programming. We apply Monte Carlo simulations to demonstrate that our method outperforms traditional rebalancing strategies like monthly, quarterly, annual, and 5% tolerance rebalancing. We also show the robustness of our method to model error by performing sensitivity analyses." @default.
- W1534461492 created "2016-06-24" @default.
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- W1534461492 date "2004-01-01" @default.
- W1534461492 modified "2023-09-23" @default.
- W1534461492 title "Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios" @default.
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- W1534461492 doi "https://doi.org/10.2139/ssrn.639284" @default.
- W1534461492 hasPublicationYear "2004" @default.
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