Comparative Analysis of Multi-period Portfolio Strategies
This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the resul...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Tagungsbericht |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext bestellen |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 269 |
|---|---|
| container_issue | |
| container_start_page | 266 |
| container_title | |
| container_volume | |
| creator | Heping Xiong Yiheng Xu Yi Xiao |
| description | This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the result of the practical examples, we find that the unadjusted investment portfolio known as the buy-and-hold strategy, without regard to transaction cost, is superior to the simple rebalancing strategy in the long run. In fact, this is also the case when the transaction cost considered. In addition, the buy-and-hold strategy is inferior to the stochastic rebalancing strategy when the investment risk is considerably high. |
| doi_str_mv | 10.1109/BIFE.2009.68 |
| format | Conference Proceeding |
| fullrecord | <record><control><sourceid>ieee_6IE</sourceid><recordid>TN_cdi_ieee_primary_5208889</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><ieee_id>5208889</ieee_id><sourcerecordid>5208889</sourcerecordid><originalsourceid>FETCH-LOGICAL-i175t-8f1d3a91b5eb71ac4087c0b83ec98c5289d221ffef173825933c82d0d26ea2463</originalsourceid><addsrcrecordid>eNotjEFLwzAYQAMyUGdv3rz0D7R--dI0X46zbG4wUVDPI22_SKQzpanC_r2Knt7hPZ4Q1xJKKcHe3u026xIBbFnTmcisITC11cqArhbi8tdYUBLrc5Gl9A4A0tZGI14I28Tj6CY3hy_OVx9uOKWQ8ujzh89hDsXIU4h9_hSn2cchxPx5_mn5LXC6EgvvhsTZP5fidbN-abbF_vF-16z2RZBGzwV52StnZau5NdJ1FZDpoCXFnaVOI9keUXrPXhpFqK1SHWEPPdbssKrVUtz8fQMzH8YpHN10OmgEIrLqG3vHRts</addsrcrecordid><sourcetype>Publisher</sourcetype><iscdi>true</iscdi><recordtype>conference_proceeding</recordtype></control><display><type>conference_proceeding</type><title>Comparative Analysis of Multi-period Portfolio Strategies</title><source>IEEE Electronic Library (IEL) Conference Proceedings</source><creator>Heping Xiong ; Yiheng Xu ; Yi Xiao</creator><creatorcontrib>Heping Xiong ; Yiheng Xu ; Yi Xiao</creatorcontrib><description>This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the result of the practical examples, we find that the unadjusted investment portfolio known as the buy-and-hold strategy, without regard to transaction cost, is superior to the simple rebalancing strategy in the long run. In fact, this is also the case when the transaction cost considered. In addition, the buy-and-hold strategy is inferior to the stochastic rebalancing strategy when the investment risk is considerably high.</description><identifier>ISBN: 9780769537054</identifier><identifier>ISBN: 0769537057</identifier><identifier>DOI: 10.1109/BIFE.2009.68</identifier><identifier>LCCN: 2009903126</identifier><language>eng</language><publisher>IEEE</publisher><subject>Conference management ; Costs ; Economic indicators ; Engineering management ; Finance ; Financial management ; Investments ; Portfolios ; Reactive power ; Stochastic processes</subject><ispartof>2009 International Conference on Business Intelligence and Financial Engineering, 2009, p.266-269</ispartof><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://ieeexplore.ieee.org/document/5208889$$EHTML$$P50$$Gieee$$H</linktohtml><link.rule.ids>309,310,780,784,789,790,2058,27925,54920</link.rule.ids><linktorsrc>$$Uhttps://ieeexplore.ieee.org/document/5208889$$EView_record_in_IEEE$$FView_record_in_$$GIEEE</linktorsrc></links><search><creatorcontrib>Heping Xiong</creatorcontrib><creatorcontrib>Yiheng Xu</creatorcontrib><creatorcontrib>Yi Xiao</creatorcontrib><title>Comparative Analysis of Multi-period Portfolio Strategies</title><title>2009 International Conference on Business Intelligence and Financial Engineering</title><addtitle>BIFE</addtitle><description>This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the result of the practical examples, we find that the unadjusted investment portfolio known as the buy-and-hold strategy, without regard to transaction cost, is superior to the simple rebalancing strategy in the long run. In fact, this is also the case when the transaction cost considered. In addition, the buy-and-hold strategy is inferior to the stochastic rebalancing strategy when the investment risk is considerably high.</description><subject>Conference management</subject><subject>Costs</subject><subject>Economic indicators</subject><subject>Engineering management</subject><subject>Finance</subject><subject>Financial management</subject><subject>Investments</subject><subject>Portfolios</subject><subject>Reactive power</subject><subject>Stochastic processes</subject><isbn>9780769537054</isbn><isbn>0769537057</isbn><fulltext>true</fulltext><rsrctype>conference_proceeding</rsrctype><creationdate>2009</creationdate><recordtype>conference_proceeding</recordtype><sourceid>6IE</sourceid><sourceid>RIE</sourceid><recordid>eNotjEFLwzAYQAMyUGdv3rz0D7R--dI0X46zbG4wUVDPI22_SKQzpanC_r2Knt7hPZ4Q1xJKKcHe3u026xIBbFnTmcisITC11cqArhbi8tdYUBLrc5Gl9A4A0tZGI14I28Tj6CY3hy_OVx9uOKWQ8ujzh89hDsXIU4h9_hSn2cchxPx5_mn5LXC6EgvvhsTZP5fidbN-abbF_vF-16z2RZBGzwV52StnZau5NdJ1FZDpoCXFnaVOI9keUXrPXhpFqK1SHWEPPdbssKrVUtz8fQMzH8YpHN10OmgEIrLqG3vHRts</recordid><startdate>200907</startdate><enddate>200907</enddate><creator>Heping Xiong</creator><creator>Yiheng Xu</creator><creator>Yi Xiao</creator><general>IEEE</general><scope>6IE</scope><scope>6IL</scope><scope>CBEJK</scope><scope>RIE</scope><scope>RIL</scope></search><sort><creationdate>200907</creationdate><title>Comparative Analysis of Multi-period Portfolio Strategies</title><author>Heping Xiong ; Yiheng Xu ; Yi Xiao</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-i175t-8f1d3a91b5eb71ac4087c0b83ec98c5289d221ffef173825933c82d0d26ea2463</frbrgroupid><rsrctype>conference_proceedings</rsrctype><prefilter>conference_proceedings</prefilter><language>eng</language><creationdate>2009</creationdate><topic>Conference management</topic><topic>Costs</topic><topic>Economic indicators</topic><topic>Engineering management</topic><topic>Finance</topic><topic>Financial management</topic><topic>Investments</topic><topic>Portfolios</topic><topic>Reactive power</topic><topic>Stochastic processes</topic><toplevel>online_resources</toplevel><creatorcontrib>Heping Xiong</creatorcontrib><creatorcontrib>Yiheng Xu</creatorcontrib><creatorcontrib>Yi Xiao</creatorcontrib><collection>IEEE Electronic Library (IEL) Conference Proceedings</collection><collection>IEEE Proceedings Order Plan All Online (POP All Online) 1998-present by volume</collection><collection>IEEE Xplore All Conference Proceedings</collection><collection>IEEE Electronic Library (IEL)</collection><collection>IEEE Proceedings Order Plans (POP All) 1998-Present</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Heping Xiong</au><au>Yiheng Xu</au><au>Yi Xiao</au><format>book</format><genre>proceeding</genre><ristype>CONF</ristype><atitle>Comparative Analysis of Multi-period Portfolio Strategies</atitle><btitle>2009 International Conference on Business Intelligence and Financial Engineering</btitle><stitle>BIFE</stitle><date>2009-07</date><risdate>2009</risdate><spage>266</spage><epage>269</epage><pages>266-269</pages><isbn>9780769537054</isbn><isbn>0769537057</isbn><abstract>This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the result of the practical examples, we find that the unadjusted investment portfolio known as the buy-and-hold strategy, without regard to transaction cost, is superior to the simple rebalancing strategy in the long run. In fact, this is also the case when the transaction cost considered. In addition, the buy-and-hold strategy is inferior to the stochastic rebalancing strategy when the investment risk is considerably high.</abstract><pub>IEEE</pub><doi>10.1109/BIFE.2009.68</doi><tpages>4</tpages></addata></record> |
| fulltext | fulltext_linktorsrc |
| identifier | ISBN: 9780769537054 |
| ispartof | 2009 International Conference on Business Intelligence and Financial Engineering, 2009, p.266-269 |
| issn | |
| language | eng |
| recordid | cdi_ieee_primary_5208889 |
| source | IEEE Electronic Library (IEL) Conference Proceedings |
| subjects | Conference management Costs Economic indicators Engineering management Finance Financial management Investments Portfolios Reactive power Stochastic processes |
| title | Comparative Analysis of Multi-period Portfolio Strategies |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-28T01%3A03%3A49IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-ieee_6IE&rft_val_fmt=info:ofi/fmt:kev:mtx:book&rft.genre=proceeding&rft.atitle=Comparative%20Analysis%20of%20Multi-period%20Portfolio%20Strategies&rft.btitle=2009%20International%20Conference%20on%20Business%20Intelligence%20and%20Financial%20Engineering&rft.au=Heping%20Xiong&rft.date=2009-07&rft.spage=266&rft.epage=269&rft.pages=266-269&rft.isbn=9780769537054&rft.isbn_list=0769537057&rft_id=info:doi/10.1109/BIFE.2009.68&rft_dat=%3Cieee_6IE%3E5208889%3C/ieee_6IE%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_id=info:pmid/&rft_ieee_id=5208889&rfr_iscdi=true |