This article proposes a hierarchical clustering-based asset allocation method, which uses
graph theory and machine learning techniques. Hierarchical clustering refers to the …

Portfolio management is an ongoing process of constructing portfolios that balances an
investor's objectives with the portfolio manager's expectations about the future. This dynamic …

We assess the ability of minimum-variance portfolio allocation strategies accounting for time-
varying correlation between assets to provide performance benefits relative to an equally …

Abstract This work compares Mean-CVaR portfolio optimization models with variable
cardinality constraint and rebalancing process. It considers integer and continuous decision …

The authors propose a simple analytical construct for incorporating liquidity into portfolio
choice. In cases where investors deploy liquidity to raise a portfolio's expected utility beyond …

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

Financial market shocks and portfolio rebalancing | Emerald Insight Books and journals Case
studies Expert Briefings Open Access Publish with us Advanced search Financial market …

Institutional investors usually employ mean-variance analysis to determine optimal portfolio
weights. Almost immediately upon implementation, however, the portfolio's weights become …

Sophisticated predetermined ratios are used to allocate portfolio asset weights to strike a
good trade-off between profitability and risk in trading. Rebalancing these weights due to …

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 …