IDEAS home Printed from https://ideas.repec.org/a/avo/emipdu/v25y2016i2p515-534.html
   My bibliography  Save this article

Portfolio Rebalancing Model With Transaction Costs And Lower Semi-Absolute Deviation Risk Measure

Author

Listed:
  • Branka Marasovic

    (University of Split)

Abstract

This paper presents a portfolio rebalancing model based on two criteria (return and risk) with transaction costs. Lower semi-absolute deviation is used as a risk measure. It belongs to the set of lower partial risk measures which are adequate measure of risk even in cases when returns are not normally distributed. The model allows different costs for buying and selling securities. In order to find efficient portfolio, using this model, the solution for a linear programming problem has to be found. Furthermore, the presented model is applied on the Croatian capital market with the aim to investigate an impact of transaction costs on rebalancing an investment portfolio and to investigate when the benefit of active portfolio management on the Croatian capital market exceeds the transaction costs of portfolio rebalancing.

Suggested Citation

  • Branka Marasovic, 2016. "Portfolio Rebalancing Model With Transaction Costs And Lower Semi-Absolute Deviation Risk Measure," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 25(2), pages 515-534, december.
    • Handle: RePEc:avo:emipdu:v:25:y:2016:i:2:p:515-534
    as

    Download full text from publisher

    File URL: https://hrcak.srce.hr/index.php/clanak/252984
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Rebalancing portfolio; mean-lower partial risk measures; transaction costs;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:avo:emipdu:v:25:y:2016:i:2:p:515-534. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nebojsa Stojcic (email available below). General contact details of provider: https://edirc.repec.org/data/oedubhr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.