Bibliografias temáticas / Portfolio rebalancing

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Literatura científica selecionada sobre o tema "Portfolio rebalancing"

Autor: Grafiati
Publicado: 4 de junho de 2021
Última modificação: 25 de julho de 2025

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Artigos de revistas sobre o assunto "Portfolio rebalancing"

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Lim, Qing Yang Eddy, Qi Cao, and Chai Quek. "Dynamic portfolio rebalancing through reinforcement learning." Neural Computing and Applications 34, no. 9 (2021): 7125–39. http://dx.doi.org/10.1007/s00521-021-06853-3.

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AbstractPortfolio managements in financial markets involve risk management strategies and opportunistic responses to individual trading behaviours. Optimal portfolios constructed aim to have a minimal risk with highest accompanying investment returns, regardless of market conditions. This paper focuses on providing an alternative view in maximising portfolio returns using Reinforcement Learning (RL) by considering dynamic risks appropriate to market conditions through dynamic portfolio rebalancing. The proposed algorithm is able to improve portfolio management by introducing the dynamic rebala
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Bányai, Attila, Tibor Tatay, Gergő Thalmeiner, and László Pataki. "The Impact of Rebalancing Strategies on ETF Portfolio Performance." Journal of Risk and Financial Management 17, no. 12 (2024): 533. http://dx.doi.org/10.3390/jrfm17120533.

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This research explores the efficacy of rebalancing strategies in a diversified portfolio constructed exclusively with exchange-traded funds (ETFs). We selected five ETF types: short-term U.S. Treasury bonds, U.S. equities, global commodities, U.S. real estate investment trusts (REITs), and a multi-strategy hedge fund. Using a 10-year historical period, we applied a unique simulation model to generate random portfolios with varying asset weights and rebalancing tolerance bands, assessing the impact of rebalancing premiums on portfolio performance. Our study reveals a significant positive correl
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Almeida, Joana, and Raquel M. Gaspar. "Portfolio Performance of European Target Prices." Journal of Risk and Financial Management 16, no. 8 (2023): 347. http://dx.doi.org/10.3390/jrfm16080347.

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This paper examines the performance of actively managed portfolios constructed using target price recommendations provided by analysts. We propose two methods for constructing portfolios based on Bloomberg’s 12-month target price consensus, which serves as a signal to buy or sell assets. Using a sample of 50 European stocks over a 19-year period (from 1 April 2004 to 31 March 2023), we compare the performance of target-price-based portfolios to traditional alternatives, such as a naïve homogeneous portfolio and the Eurostoxx 50 index, as well as to passive portfolios based on average recommend
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Horn, Matthias, and Andreas Oehler. "Automated portfolio rebalancing: Automatic erosion of investment performance?" Journal of Asset Management 21, no. 6 (2020): 489–505. http://dx.doi.org/10.1057/s41260-020-00183-0.

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Abstract Robo-advisers enable investors to establish an automated rebalancing strategy for a portfolio usually consisting of stocks and bonds. Since households’ portfolios additionally include further frequently tradable assets like real estate funds, articles of great value and cash(-equivalents), we analyze whether households would benefit from a service that automatically rebalances a portfolio which additionally includes the latter assets. In contrast to previous studies, this paper relies on real-world household portfolios, which are derived from the German central bank’s (Deutsche Bundes
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Sornmayura, Sutta, Nichanan Sakolvieng, and Kaimook Numgaroonaroonroj. "Optimizing Cryptocurrency Portfolios: A Comparative Study of Rebalancing Strategies." GATR Journal of Finance and Banking Review Vol. 8 (4) January - March 2024 8, no. 4 (2024): 01–16. http://dx.doi.org/10.35609/jfbr.2024.8.4(1).

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Objective – This study aims to contribute to the field of cryptocurrency portfolio management and rebalancing strategies by empirically investigating the impact of different allocation frequencies and threshold percentages on the risk-adjusted returns of cryptocurrency portfolios. Methodology/Technique – Utilizing a simulation of 10,000 cryptocurrency portfolios comprising seven assets, including Ethereum (ETH), Bitcoin (BTC), Tether (USDT), Litecoin (LTC), Solana (SOL), Dogecoin (DOGE), and Polygon (MATIC), this study examines and compares the effects of different allocation frequencies (dail
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Demos, Guilherme, Thomas Pires, and Guilherme Valle Moura. "Rebalanceamento Endógeno para Portfólios de Variância Mínima." Brazilian Review of Finance 13, no. 4 (2015): 544. http://dx.doi.org/10.12660/rbfin.v13n4.2015.49112.

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Investment managers often rebalance portfolios using it ad-hoc criteria due the trade-off between gains from updating optimal weight and costs incurred from changing the portfolio composition. A common solution for this stalemate is rebalancing the portfolio based on some exogenous criteria. By monitoring the optimal weights of the portfolio through control charts, the authors propose a portfolio rebalance strategy based solely on endogenous information. The optimal portfolio weights are thus monitored daily and if statistical significant changes are detected we either rebalance or not the por
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Ielasi, Federica, Paolo Ceccherini, and Pietro Zito. "Integrating ESG Analysis into Smart Beta Strategies." Sustainability 12, no. 22 (2020): 9351. http://dx.doi.org/10.3390/su12229351.

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Smart beta strategy is an increasingly frequent approach to investment analysis for portfolio selection and optimization and it can be combined with environmental, social, and governance (ESG) considerations. In order to verify the impact of the integration between ESG and smart beta analysis, first we apply a portfolio rebalancing based on ESG scores on securities selected according to different smart beta strategies (ex-post ESG rebalancing approach). Secondly, we apply different smart beta approaches to sustainable portfolios, screened according to the issuers’ ESG scores (ex-ante ESG scree
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Lowe, Stephen. "Rebalancing the Portfolio." AIMR Conference Proceedings 1998, no. 6 (1998): 117–25. http://dx.doi.org/10.2469/cp.v1998.n6.12.

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Sahu, Sonal, José Hugo Ochoa Vázquez, Alejandro Fonseca Ramírez, and Jong-Min Kim. "Analyzing Portfolio Optimization in Cryptocurrency Markets: A Comparative Study of Short-Term Investment Strategies Using Hourly Data Approach." Journal of Risk and Financial Management 17, no. 3 (2024): 125. http://dx.doi.org/10.3390/jrfm17030125.

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This paper investigates portfolio optimization methodologies and short-term investment strategies in the context of the cryptocurrency market, focusing on ten major cryptocurrencies from June 2020 to March 2024. Using hourly data, we apply the Kurtosis Minimization methodology, along with other optimization strategies, to construct and assess portfolios across various rebalancing frequencies. Our empirical analysis reveals significant volatility, skewness, and kurtosis in cryptocurrencies, highlighting the need for sophisticated portfolio management techniques. We discover that the Kurtosis Mi
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Wang, Meihua, Cheng Li, Honggang Xue, and Fengmin Xu. "A New Portfolio Rebalancing Model with Transaction Costs." Journal of Applied Mathematics 2014 (2014): 1–7. http://dx.doi.org/10.1155/2014/942374.

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A portfolio rebalancing model with self-finance strategy and consideration of V-shaped transaction cost is presented in this paper. Our main contribution is that a new constraint is introduced to confirm that the rebalance necessity of the existing portfolio needs to be adjusted. The constraint is constructed by considering both the transaction amount and transaction cost without any additional supply to the investment amount. The V-shaped transaction cost function is used to calculate the transaction cost of the portfolio, and conditional value at risk (CVaR) is used to measure the risk of th
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Teses / dissertações sobre o assunto "Portfolio rebalancing"

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Sultani, Rawand. "Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273420.

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Portfolio rebalancing has become a popular tool for institutional investors the last decade. Adaptive asset allocation, an approach suggest by William Sharpe is a new approach to portfolio rebalancing taking market capitalization of asset classes into consideration when setting the normal portfolio and adapting it to a risk profile. The purpose of this thesis is to evaluate the traditional approach of portfolio rebalancing with the adaptive one. The comparison will consist of backtesting and two simulation methods which will be compared computationally measuring time and memory usage (Monte Ca
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Finocchiaro, Andrea <1990&gt. "Portfolio rebalancing: comparing naive and classical strategies." Master's Degree Thesis, Università Ca' Foscari Venezia, 2016. http://hdl.handle.net/10579/8070.

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This thesis describes and analyze critically some financial portfolio models, in partcular the 1/N model, the Mean-Variance optimization model and the Minimum Variance model. To asses their performances , it has been replicated the experiment proposed in the article "Optimal versus naive diversification: how inefficient is the 1/N portfolio startegy?" written by Victor DeMiguel,Lorenzo Garlappi and Raman Uppal, with a different criteria of the estimation window used in order to evaluate the performances of the three different strategies .
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Mironenko, Georgy. "Problem of hedging of a portfolio with a unique rebalancing moment." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-17357.

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The paper deals with the problem of finding an optimal one-time rebalancing strategy for the Bachelier model, and makes some remarks for the similar problem within Black-Scholes model. The problem is studied on finite time interval under mean-square criterion of optimality. The methods of the paper are based on the results for optimal stopping problem and standard mean-square criterion. The solution of the problem, considered in the paper, let us interpret how and - that is more important for us -when investor should rebalance the portfolio, if he wants to hedge it in the best way.
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Li, Ying 1971 Mar 16. "Maintaining optimal CEO incentives through equity grants and CEO portfolio rebalancing." Thesis, Massachusetts Institute of Technology, 2002. http://hdl.handle.net/1721.1/8479.

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Thesis (Ph.D.)--Massachusetts Institute of Technology, Sloan School of Management, 2002.<br>Includes bibliographical references.<br>My thesis examines the joint hypotheses that firms set optimal levels for CEO incentives, and that firms and CEOs jointly correct deviations from these optimal levels through equity grants and CEO portfolio rebalancing. I investigate two equity-based CEO incentives, pay-for-performance sensitivity and risk-taking incentive. Pay-for-performance sensitivity is defined as the change in CEO wealth for a given change in the firm's stock price, while risk-taking incenti
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Breznik, Alexander, and Anders Lönnquist. "Portfolio selection based on volatility forecasting : DCC MGARCH (1,1) prediction with monthly and weekly portfolio rebalancing." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-61058.

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Gagnon, Andrew L. "Evaluation of a practical application of asset allocation and portfolio rebalancing techniques /." abstract and full text PDF (free order & download UNR users only), 2006. http://0-gateway.proquest.com.innopac.library.unr.edu/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:1440926.

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Thesis (M.B.A.)--University of Nevada, Reno, 2006.<br>"December, 2006." Includes bibliographical references (leaves 35-36). Online version available on the World Wide Web. Library also has microfilm. Ann Arbor, Mich. : ProQuest Information and Learning Company, [2006]. 1 microfilm reel ; 35 mm.
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Li, Zejing [Verfasser], and N. [Akademischer Betreuer] Bäuerle. "Optimal Portfolios in Wishart Models and Effects of Discrete Rebalancing on Portfolio Distribution and Strategy Selection / Zejing Li. Betreuer: N. Bäuerle." Karlsruhe : KIT-Bibliothek, 2012. http://d-nb.info/1033351482/34.

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Castellanos, Mário José Franganito. "Quantitative easing in the Eurozone : portfolio balance channel and pension funds." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20768.

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Mestrado em Economia Monetária e Financeira<br>Este trabalho procura analisar os efeitos do Quantitative Easing (QE) nos portfólios de investimento dos fundos de pensões (FP) e a hipótese do portfolio balance channel no contexto da zona euro. Utilizámos um modelo econométrico do tipo log-log com base em dados painel para responder às perguntas 1) Como é que o QE afectou os portfólios de investimento dos fundos de pensões; 2) Estas mudanças são esperadas pelo portfolio balance channel? 3) Estes efeitos são consistentes quando tendo em conta apenas os países com fundos de pensões maiores com mai
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Ramilton, Alan. "On Portfolio Optimization: The Benefits of Constraints in the Presence of Transaction Costs." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226818.

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Most studies view transaction costs and constraints separate in the mean-variance framework. As such, I evaluate the benefits of holding and turnover constraints in the presence of transaction costs on Swedish Asset Returns. In theory, the benefits should be limited when transaction costs are included in the portfolio rebalancing problem. By using the model developed by Mitchell and Braun (2003), my results indicate that there are benefits of holding constraints in the mean-variance optimization. The main issue with the long-only portfolio is its lack of diversification. The strategy allocates
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Cotrim, Fábio Roberto Matias. "How frequently should portfolios be rebalanced?" Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13076.

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Mestrado em Finanças<br>Durante anos, académicos, consultores e empresas de investimento têm tentado estudar a relevância e o desempenho de estratégias de rebalanceamento de carteiras de títulos. Alguns descobriram que a diferença entre rebalancear ou não rebalancear é insignificante, já que os custos envolvidos tiveram impacto no retorno depois do rebalanceamento. A maior parte da literatura sobre rebalanceamento foca, no entanto, numa análise considerando dois ativos (com e sem risco). Neste projeto, estudamos a existência de três ativos em vez da abordagem convencional: ações com risco; o
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Mais fontes

Livros sobre o assunto "Portfolio rebalancing"

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Qian, Edward E. Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676.

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Hau, Harald. Global portfolio rebalancing under the microscope. National Bureau of Economic Research, 2008.

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Calvet, Laurent E. Fight or flight?: Portfolio rebalancing by individual investors. National Bureau of Economic Research, 2008.

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Bonaparte, Yosef. Consumption smoothing and portfolio rebalancing: The effects of adjustment costs. National Bureau of Economic Research, 2011.

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Langowski, Larry. Rebalancing an MSR portfolio hedge with Treasury futures and options. Market and Product Development, Chicago Board of Trade, 1999.

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Bonaparte, Yosef. Consumption smoothing and portfolio rebalancing: The effects of adjustment costs. National Bureau of Economic Research, 2011.

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Xu, Xingbo. Financial Portfolio Risk Management: Model Risk, Robustness and Rebalancing Error. [publisher not identified], 2013.

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Hau, Harald. Can portfolio rebalancing explain the dynamics of equity returns, equity flows, and exchange rates? National Bureau of Economic Research, 2004.

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Qian, Edward E. Portfolio Rebalancing. Taylor & Francis Group, 2020.

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Qian, Edward E. Portfolio Rebalancing. Taylor & Francis Group, 2018.

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Capítulos de livros sobre o assunto "Portfolio rebalancing"

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Qian, Edward E. "Portfolio Rebalancing." In Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676-3.

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Qian, Edward E. "Threshold Rebalancing." In Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676-12.

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Qian, Edward E. "Introduction." In Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676-1.

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Qian, Edward E. "Rebalancing Alpha and Mean Reversion." In Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676-10.

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Qian, Edward E. "Risk and Return of Rebalancing Effects." In Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676-11.

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Qian, Edward E. "A Brief Review of Portfolio Theory." In Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676-2.

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Qian, Edward E. "Volatility Effect and Return Effect." In Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676-4.

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Qian, Edward E. "Analysis of Volatility Effect." In Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676-5.

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Qian, Edward E. "Analysis of Return Effect." In Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676-6.

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Qian, Edward E. "Analysis of Rebalancing Alpha." In Portfolio Rebalancing. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315120676-7.

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Trabalhos de conferências sobre o assunto "Portfolio rebalancing"

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Peng, Yuan-Long, and Yu-Cheng Mao. "Selection of Negative Correlative Pairs to Build an Annual Rebalancing Portfolio." In 2024 6th International Conference on Electrical, Control and Instrumentation Engineering (ICECIE). IEEE, 2024. https://doi.org/10.1109/icecie63774.2024.10815696.

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Darapaneni, Narayana, Amitavo Basu, Sanket Savla, et al. "Automated Portfolio Rebalancing using Q-learning." In 2020 11th IEEE Annual Ubiquitous Computing, Electronics & Mobile Communication Conference (UEMCON). IEEE, 2020. http://dx.doi.org/10.1109/uemcon51285.2020.9298035.

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Saadi, Vahid. "Import Competition and Bank Portfolio Rebalancing." In 30th Annual European Real Estate Society Conference. European Real Estate Society, 2024. http://dx.doi.org/10.15396/eres2024-043.

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Pai, G. A. Vijayalakshmi. "Active Portfolio Rebalancing using Multi-objective Metaheuristics." In 2018 IEEE Symposium Series on Computational Intelligence (SSCI). IEEE, 2018. http://dx.doi.org/10.1109/ssci.2018.8628875.

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Tyukhova, Elena, Dmitry Sizykh, and Alexander Smirnov. "Quality Estimation Model of Investment Portfolio Rebalancing Process." In 2018 Eleventh International Conference "Management of large-scale system development" (MLSD 2018). IEEE, 2018. http://dx.doi.org/10.1109/mlsd.2018.8551950.

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Das, Sujit, and Mukul Goyal. "Rebalancing a two-asset Markowitz portfolio: A fundamental analysis." In 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2012. http://dx.doi.org/10.1109/cifer.2012.6327804.

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Das, Sujit, and Mukul Goyal. "Discrete-time log-optimal portfolio rebalancing: A scalable efficient algorithm." In 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2012. http://dx.doi.org/10.1109/cifer.2012.6327806.

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Torun, Mustafa U., and Ali N. Akansu. "On Epps effect and rebalancing of hedged portfolio in multiple frequencies." In 2011 4th IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP). IEEE, 2011. http://dx.doi.org/10.1109/camsap.2011.6136020.

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Liu, Yanwu, and Zhongzhen Zhang. "Pivoting Algorithm for Optimization Model of Portfolio Rebalancing with Transaction Costs." In 2009 International Conference on Computational Intelligence and Natural Computing (CINC). IEEE, 2009. http://dx.doi.org/10.1109/cinc.2009.47.

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Suganya, N. C., and G. A. Vijayalakshmi Pai. "Constrained portfolio rebalancing with transaction costs using Evolutionary Wavelet Hopfield Network Strategy." In 2009 World Congress on Nature & Biologically Inspired Computing (NaBIC). IEEE, 2009. http://dx.doi.org/10.1109/nabic.2009.5393347.

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Relatórios de organizações sobre o assunto "Portfolio rebalancing"

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Kimball, Miles, Matthew Shapiro, Tyler Shumway, and Jing Zhang. Portfolio Rebalancing in General Equilibrium. National Bureau of Economic Research, 2018. http://dx.doi.org/10.3386/w24722.

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Dai, Min, Cong Qin, and Neng Wang. Portfolio Rebalancing with Realization Utility. National Bureau of Economic Research, 2022. http://dx.doi.org/10.3386/w29821.

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Camanho, Nelson, Harald Hau, and Hélène Rey. Global Portfolio Rebalancing and Exchange Rates. National Bureau of Economic Research, 2018. http://dx.doi.org/10.3386/w24320.

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Hau, Harald, and Hélène Rey. Global Portfolio Rebalancing Under the Microscope. National Bureau of Economic Research, 2008. http://dx.doi.org/10.3386/w14165.

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Calvet, Laurent, John Campbell, and Paolo Sodini. Fight or Flight? Portfolio Rebalancing by Individual Investors. National Bureau of Economic Research, 2008. http://dx.doi.org/10.3386/w14177.

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Bonaparte, Yosef, Russell Cooper, and Guozhong Zhu. Consumption Smoothing and Portfolio Rebalancing: The Effects of Adjustment Costs. National Bureau of Economic Research, 2011. http://dx.doi.org/10.3386/w16957.

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Hau, Harald, and Helene Rey. Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates? National Bureau of Economic Research, 2004. http://dx.doi.org/10.3386/w10476.

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Curcuru, Stephanie, Charles Thomas, Francis Warnock, and Jon Wongswan. Uncovered Equity Parity and Rebalancing in International Portfolios. National Bureau of Economic Research, 2014. http://dx.doi.org/10.3386/w19963.

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Rincón-Torres, Andrey Duván, Kimberly Rojas-Silva, and Juan Manuel Julio-Román. The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia. Banco de la República, 2021. http://dx.doi.org/10.32468/be.1171.

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We study the interdependence of FX and Treasury Bonds (TES) markets in Colombia. To do this, we estimate a heteroskedasticity identified VAR model on the returns of the COP/USD exchange rate (TRM) and bond prices, as well as event-analysis models for return volatilities, number of quotes, quote volume, and bid/ask spreads. The data under analysis consists of 5-minute intraday bid/ask US dollar prices and bond quotes, for an assortment of bond species. For these species we also have the number of bid/ask quotes as well as their volume. We found, also, that the exchange rate conveys information
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