A New Portfolio Rebalancing Model with Transaction Costs
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 c...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/942374 |
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| Summary: | 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. |
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| ISSN: | 1110-757X 1687-0042 |