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Models and Simulations for Portfolio Rebalancing

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  • Gianfranco Guastaroba
  • Renata Mansini
  • M. Speranza

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  • Gianfranco Guastaroba & Renata Mansini & M. Speranza, 2009. "Models and Simulations for Portfolio Rebalancing," Computational Economics, Springer;Society for Computational Economics, vol. 33(3), pages 237-262, April.
    • Handle: RePEc:kap:compec:v:33:y:2009:i:3:p:237-262
    DOI: 10.1007/s10614-008-9158-y
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    References listed on IDEAS

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    1. Nitin R. Patel & Marti G. Subrahmanyam, 1982. "A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs," Management Science, INFORMS, vol. 28(3), pages 303-314, March.
    2. Keith V. Smith, 1967. "A Transition Model For Portfolio Revision," Journal of Finance, American Finance Association, vol. 22(3), pages 425-439, September.
    3. Elton, Edwin J & Gruber, Martin J, 1974. "On the Optimality of Some Multiperiod Portfolio Selection Criteria," The Journal of Business, University of Chicago Press, vol. 47(2), pages 231-243, April.
    4. Duan Li & Wan‐Lung Ng, 2000. "Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 387-406, July.
    5. Martin R. Young, 1998. "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, INFORMS, vol. 44(5), pages 673-683, May.
    6. Luca Chiodi & Renata Mansini & Maria Speranza, 2003. "Semi-Absolute Deviation Rule for Mutual Funds Portfolio Selection," Annals of Operations Research, Springer, vol. 124(1), pages 245-265, November.
    7. Hans Kellerer & Renata Mansini & M. Speranza, 2000. "Selecting Portfolios with Fixed Costs and Minimum Transaction Lots," Annals of Operations Research, Springer, vol. 99(1), pages 287-304, December.
    8. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    9. Pogue, G A, 1970. "An Extension of the Markowitz Portfolio Selection Model to Include Variable Transactions' Costs, Short Sales, Leverage Policies and Taxes," Journal of Finance, American Finance Association, vol. 25(5), pages 1005-1027, December.
    10. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
    11. Gerard Gennotte & Alan Jung, 1994. "Investment Strategies under Transaction Costs: The Finite Horizon Case," Management Science, INFORMS, vol. 40(3), pages 385-404, March.
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    Cited by:

    1. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    2. Björn Fastrich & Peter Winker, 2012. "Robust portfolio optimization with a hybrid heuristic algorithm," Computational Management Science, Springer, vol. 9(1), pages 63-88, February.
    3. Filippi, C. & Guastaroba, G. & Speranza, M.G., 2016. "A heuristic framework for the bi-objective enhanced index tracking problem," Omega, Elsevier, vol. 65(C), pages 122-137.
    4. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2013. "Portfolio rebalancing with an investment horizon and transaction costs," Omega, Elsevier, vol. 41(2), pages 406-420.

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