To exploit return predictability via dynamic asset allocation, investors face the important
practical issue of how often to rebalance their portfolios. More frequent rebalancing uses …

This study compares the performance of different rebalancing strategies under realistic
market conditions by reporting statistical significance levels. Our analysis is based on …

The rebalancing rule applied to a multiasset class portfolio will have a significant impact on
both risk and return (Arnott and Lovell [1993]; Chan and Ramkumar [2011]). All portfolios …

We consider returns from rebalanced and buy and hold portfolios consisting of the same
stocks. Theoretical properties are derived using Jensen's inequality and the Hölder's Defect …

The goal of strategic rebalancing is to limit unintended drift or tracking error from the
strategic policy benchmark without incurring large transaction costs. Traditional rebalancing …

We compare the performance of different rebalancing strategies under realistic market
conditions by reporting statistical significance levels. Our analysis is based on historical data …

We apply a stationary bootstrap approach that enables us to test the value added of
rebalancing for stock-bond portfolios using historical data from the United States, the United …

In this article, the author provides an alternative to traditional portfolio rebalancing based on
changes in asset market values, one informed by equity characteristics. The logic of policy …

One important question in investment is how to build adaptive asset allocation strategies, ie
portfolios which adjust to the changing conditions of the economic environments. This paper …

Abstract [eng] The doctoral study explores the research problem and finds out what are the
appropriate stock evaluation indicators and methods for stock selection and how to construct …