TY - JOUR T1 - Model-Based Transition Management JF - The Journal of Portfolio Management SP - 37 LP - 45 DO - 10.3905/jpm.2006.661369 VL - 33 IS - 1 AU - Jan Bertus Molenkamp Y1 - 2006/10/31 UR - https://pm-research.com/content/33/1/37.abstract N2 - Once the optimal strategic benchmark is set for institutional assets, given the characteristics of the liabilities, the challenge is to reallocate all the assets to the benchmark weights. Transitions typically increase transaction costs and tracking error beyond the risk of the normal investment processes, and both transaction costs and tracking error have a significant influence on performance. Suggested here is a model to deal more systematically with transition issues that is independent of the trigger of the transition (such as a rebalancing strategy). The model is less complex than others suggested so far and is well-suited to deal with multiple assets. A multi-asset example shows it is easy to implement this approach.TOPICS: Portfolio management/multi-asset allocation, risk management ER -