![](/images/graphics-bg.png)
A New Portfolio Rebalancing Model with Transaction Costs
Joint Authors
Li, Cheng
Xu, Fengmin
Wang, Meihua
Xue, Honggang
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-28
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
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 the portfolios.
Computational tests on practical financial data show that the proposed model is effective and the rebalanced portfolio increases the expected return of the portfolio and reduces the CVaR risk of the portfolio.
American Psychological Association (APA)
Wang, Meihua& Li, Cheng& Xue, Honggang& Xu, Fengmin. 2014. A New Portfolio Rebalancing Model with Transaction Costs. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-510111
Modern Language Association (MLA)
Wang, Meihua…[et al.]. A New Portfolio Rebalancing Model with Transaction Costs. Journal of Applied Mathematics No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-510111
American Medical Association (AMA)
Wang, Meihua& Li, Cheng& Xue, Honggang& Xu, Fengmin. A New Portfolio Rebalancing Model with Transaction Costs. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-510111
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-510111