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Teses / dissertações sobre o tema "Portfolio rebalancing"

Autor: Grafiati

Publicado: 4 de junho de 2021

Última modificação: 25 de julho de 2025

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1

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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2

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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3

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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4

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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5

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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6

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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7

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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8

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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9

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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10

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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11

Singh, Alex. "A risk-transaction cost trade-off model for index tracking." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-143807.

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This master thesis considers and evaluates a few different risk models for stock portfolios, including an ordinary sample covariance matrix, factor models and an approach inspired from random matrix theory. The risk models are evaluated by simulating minimum variance portfolios and employing a cross-validation. The Bloomberg+ transaction cost model is investigated and used to optimize portfolios of stocks, with respect to a trade off between the active risk of the portfolio and transaction costs. Further a few different simulations are performed while using the optimizer to rebalance long-only

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12

GUASTAROBA, Gianfranco. "Portfolio Optimization: Scenario Generation, Models and Algorithms." Doctoral thesis, Università degli studi di Bergamo, 2010. http://hdl.handle.net/10446/489.

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In single-period portfolio optimization several facets of the problem may influence the goodness of the portfolios. In this thesis, we aim at investigating the impact of some of these facets on the performances of the portfolios. Firstly, we consider the problem of generating scenarios. We survey different techniques to generate scenarios for the rates of return. We also compare these techniques by providing in-sample and out-of-sample analysis of the portfolios. As reference model we use the Conditional Value-at-Risk (CVaR) model with transaction costs. Extensive computational results are pr

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13

Saarela, H. (Helinä). "The influence of self-perceived, subjective attributes on investment behavior." Doctoral thesis, Oulun yliopisto, 2014. http://urn.fi/urn:isbn:9789526205779.

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Abstract This doctoral thesis aims to contribute to investment behavior research by giving new information on the causes which generate differences in investment behavior. As causes to differences in behavior we focus on the influence of investors’ self-perceived attitudes, evaluations and judgments. We refer to these investor characteristics as subjective attributes. We also test the power of demographic and socio-economic characteristics as causes of differences in investment behavior and refer to these as objective attributes. We approach investment behavior from three dimensions and constr

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14

Fioretto, Enrico <1993&gt. "Managing a Black and Litterman portfolio’s rebalancing with gold for an Italian retail investor." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19405.

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The thesis analyses the possibility for an Italian investor to optimize his investment portfolio fiscally. In Italy, there are restrictions on the possibility of fiscally compensating one's investments, linked to the type of asset included in the portfolio. In particular, the investor has to deal with capital gains and other income, especially if he uses funds and ETFs. An analysis of the previous literature suggests using gold within the portfolio to exploit its characteristics as a safe asset, specifically during financial crises. The use of gold, combined with ETFs, makes it possible to re

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15

Santos, Sara Filipa Martins dos. "Portfolio rebalancing : how and how often?" Master's thesis, 2019. http://hdl.handle.net/10400.14/29263.

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Portfolio rebalancing can be a fundamental tool to ensure portfolio's risk and return characteristics. But determining the most appropriate rebalancing strategy continues to be subject of analysis. The present study tests how hypothetical portfolios performance behave when rebalanced by different strategies, when transaction costs are presented. The study uses historical data from U.S. stocks and bonds between December 1998 and December 2018. The findings indicate that the optimal rebalancing strategy depends on the risk tolerance of the investor and, despite the negligible differences in risk

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16

Chang, Wei-Yuan, and 張維元. "Fuzzy portfolio rebalancing model with multiple criteria." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/33919384885456336010.

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碩士<br>國立暨南國際大學<br>資訊管理學系<br>99<br>In order to deal with the uncertainty issue in returns, fuzzy variables are employed to indicate the assets’ return rate and consider portfolio return, as well as risk and skewness in the portfolio. To approach a real transaction, the criteria of the short sale and transaction cost in the portfolio are considered simultaneously. Therefore, a rebalancing model with multiple criteria, including return, risk, skewness, short sale proportion, and transaction cost in portfolio selection is proposed. Two data sets, from Taiwan and the New York Stock Exchange, are an

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17

Lee, Wan-Rou, and 李宛柔. "A Dynamic Rebalancing Strategy for Portfolio Allocation." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/794uhm.

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碩士<br>國立中央大學<br>統計研究所<br>105<br>Reallocation, or adjust weights of portfolio is an indispensable part in portfolio management. In the practice, calendar rebalancing is a basic rebalancing strategy that either retail or institutional investors can utilize to create an optimal investment process. In calendar rebalancing, portfolio managers reallocate their portfolio at predefined intervals and use the historical data over the pass fixed time to calculate the suitable weights. It's known that each time you rebalance the portfolio, paying for the tax and transaction fee is inevitable.However, real

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18

DONG, WEN-KUEI, and 董文魁. "Using Social Media Opinion for Automatic Portfolio Rebalancing." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/bzjg8b.

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碩士<br>國立暨南國際大學<br>資訊管理學系<br>105<br>In recent years the opinions on social media have attracted increasing attention, which has made big data analysis a popular issue. Luo et al. (2016) pointed it out that the information about stock on social media had direct effects on the trend of the stock market. However, few studies have combined the unstructured data such as the opinions on social media with the conventional investment portfolios and then made rebalancing. Therefore, this study adopted the Conditional Value-at-Risk (CVaR) by Rockafellar and Uryasev(2000) and the Omega ratio model (Omega)

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19

"Multi-period optimal portfolio selection with limited rebalancing opportunities." 2011. http://library.cuhk.edu.hk/record=b5894622.

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Wang, Yang.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.<br>Includes bibliographical references (p. 72-74).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Literature Review and Model Description --- p.1<br>Chapter 1.1 --- Portfolio theory under mean-variance framework --- p.2<br>Chapter 1.2 --- Portfolio theory under utility-maximizing framework --- p.5<br>Chapter 1.3 --- Model Description --- p.11<br>Chapter 2 --- Parameterized optimal rebalancing strategy --- p.14<br>Chapter 2.1 --- An open-loop policy of the T-horizon model --- p.16<br>Chapter 2.2 --- A closed-lo

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20

Xu, Xingbo. "Financial Portfolio Risk Management: Model Risk, Robustness and Rebalancing Error." Thesis, 2013. https://doi.org/10.7916/D8SX6MF1.

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Risk management has always been in key component of portfolio management. While more and more complicated models are proposed and implemented as research advances, they all inevitably rely on imperfect assumptions and estimates. This dissertation aims to investigate the gap between complicated theoretical modelling and practice. We mainly focus on two directions: model risk and reblancing error. In the first part of the thesis, we develop a framework for quantifying the impact of model error and for measuring and minimizing risk in a way that is robust to model error. This robust approach

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21

Kvasnička, Tomáš. "Wavelet portfolio optimization: Investment horizons, stability in time and rebalancing." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-347220.

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The main objective of the thesis is to analyse impact of wavelet covariance estimation in the context of Markowitz mean-variance portfolio selection. We use a rolling window to apply maximum overlap discrete wavelet transform to daily returns of 28 companies from DJIA 30 index. In each step, we compute portfolio weights of global minimum variance portfolio and use those weights in the out-of- sample forecasts of portfolio returns. We let rebalancing period to vary in order to test influence of long-term and short-term traders. Moreover, we test impact of different wavelet filters including Haa

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22

Yang, Jianhong, and 楊建宏. "A Comparison of Portfolio Rebalancing Models by Using Different Risk Measurements." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/57938545254379865287.

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碩士<br>國立暨南國際大學<br>資訊管理學系<br>100<br>With different risk measurement, the portfolio selection models including the Mean Variance model, the Mean Absolute Deviation model, the Downside Risk model, and Conditional Value at Risk model have been studied. Using the rolling window technique, multi-period trading simulation is performed while short selling is also taken into account for these four models. Three kinds of performance assessments which are market value, expect return, and standard deviation are used to compare the performances among these four models. The Conditional Value at Risk model e

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23

LIN, SHUN-JI, and 林順基. "A Forecasting Portfolio Selection Rebalancing Model with Transaction Cost and Short Selling." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/78990270868665881470.

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碩士<br>國立暨南國際大學<br>資訊管理學系<br>104<br>Because historical data cannot timely reflect market uncertainty, especially in the high volatility situation. Therefore, in order to effectively manage risk and mastery potential benefits in the market, Ustun and Kasimbeyli (2012) use thirteen objectives incorporating forecasting data into model, which is a nonlinear problem and difficult to obtain the global optimal solution. This study employs a simple weighted method and consider forecasted return and Residuals, in addition to short sale and transaction costs. Therefore, the proposed method builds alinear

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24

Wu, Feng-Tsung, and 吳豐宗. "The Wealth Effects of Automatic Portfolio Rebalancing in the Investment-Oriented Insurance Products." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/55826572288057144600.

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25

Wang, YenWei, and 王衍偉. "A Study of the Performance of Investment-Oriented Insurance for Automatic Portfolio Rebalancing." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/89152255488396491828.

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碩士<br>國立高雄第一科技大學<br>風險管理與保險研究所<br>99<br>This study aims to discuss the performance of the automatic portfolio rebalancing regarding how to create fortune to policy holders of investment-oriented insurance. Through empirical results, this study discusses the long-tem discrepancy of fortune between adopting and refusing the package of insurance investment strategies. The results will provide better services and references for policy holders, marketing professionals, and insurance companies with respect to decision making. Markowitz Modern Portfolio Theory: (1) If the investor were only interes

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26

Lin, Chih-chiao, and 林知樵. "On Three Types of Estimatros for Dynamic Portfolio Weights and Rebalancing Time Choice." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/56166351672717585333.

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碩士<br>國立高雄大學<br>統計學研究所<br>100<br>In order to reflect the actual economic boom, this study hopes to establish a prediction model in the portfolio. Using this model, one can monitor the portfolio return and another can find the rebalancing time dynamically. The estimators of portfolio weight are an important topic. The portfolio theorem is considering a fixed investment time interval. In this interval, the portfolio weights are a constant that we call it static portfolio. This also means that the portfolio is not readily reflecting reality. The purpose of this study considers a dynamic portfolio

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27

Jhuang, Jhih-Cing, and 莊芷晴. "A Study of the Performance of Automatic Portfolio Rebalancing for Investment-Linked Product." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/4dqx88.

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碩士<br>國立高雄科技大學<br>風險管理與保險系<br>107<br>This study aims to discuss the investment performance of the automatic portfolio rebalancing for investment-linked product. Through empirical analysis, this study discusses the long-term discrepancy of performance between adopting and refusing the automatic portfolio rebalancing of insurance investment strategies. The results will provide better services and references for policyholders, marketing professionals, and insurance companies with respect to decision making. Taking a total of thirty listed open-end fund, offshore mutual fund by K life insurance c

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28

Zapp, Jan-Frederik. "Uncovered equity parity: an empirical analysis for the Brazilian financial market." Master's thesis, 2018. http://hdl.handle.net/10362/53053.

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This paper analyzes if the uncovered equity parity conditions, established by Hau and Rey (2006), hold for Brazil or if divergent capital flow dynamics are observable. The paper applies a vector autoregressive model, capturing the interdependencies between local equity returns, capital flows, and currency returns. Contrary to Hau and Rey (2006), I find a positive relation between local equity returns and currency returns caused by the positive impact of local equity return shocks on foreign net capital flows. The results are in line with previous findings from emerging markets in Asia (F

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