Abstract

http://ssrn.com/abstract=2011605
 
 

References (43)



 
 

Citations (2)



 


 



Dynamic Portfolio Choice with Linear Rebalancing Rules


Ciamac C. Moallemi


Columbia Business School - Decision Risk and Operations

Mehmet Saglam


University of Cincinnati - Department of Finance - Real Estate

January 1, 2012


Abstract:     
We consider a broad class of dynamic portfolio optimization problems that allow for complex models of return predictability, transaction costs, trading constraints, and risk considerations. Determining an optimal policy in this general setting is almost always intractable. We propose a class of linear rebalancing rules, and describe an efficient computational procedure to optimize with this class. We illustrate this method in the context of portfolio execution, and show that it achieves near optimal performance.

Number of Pages in PDF File: 41

Keywords: Portfolio Choice, Transaction Costs, Return Predictability, Portfolio Execution

JEL Classification: G11

working papers series


Download This Paper

Date posted: February 27, 2012  

Suggested Citation

Moallemi, Ciamac C. and Saglam, Mehmet, Dynamic Portfolio Choice with Linear Rebalancing Rules (January 1, 2012). Available at SSRN: http://ssrn.com/abstract=2011605 or http://dx.doi.org/10.2139/ssrn.2011605

Contact Information

Ciamac C. Moallemi
Columbia Business School - Decision Risk and Operations ( email )
New York, NY
United States
HOME PAGE: http://moallemi.com/ciamac

Mehmet Saglam (Contact Author)
University of Cincinnati - Department of Finance - Real Estate ( email )
College of Business Administration
Cincinnati, OH 45221
United States
(513) 556-9108 (Phone)
HOME PAGE: http://mehmetsaglam.net
Feedback to SSRN


Paper statistics
Abstract Views: 1,117
Downloads: 280
Download Rank: 61,501
References:  43
Citations:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.453 seconds