文章基本信息

标题：Portfolio Optimisation and Endogenous Rebalancing Methods
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作者：Guilherme Demos ; Thomas Pires ; Guilherme Valle Moura 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2016
卷号：13
期号：4
页码：544-570
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：Investment managers often rebalance portfolios using it ad-hoc criteria due the trade-off between gains from updating optimal weight and costs incurred from changing the portfolio composition. A common solution for this stalemate is rebalancing the portfolio based on some exogenous criteria. By monitoring the optimal weights of the portfolio through control charts, the authors propose a portfolio rebalance strategy based solely on endogenous information. The optimal portfolio weights are thus monitored daily and if statistical significant changes are detected we either rebalance or not the portfolio thus avoiding transaction costs. The performance of the rebalancing strategy is then compared with different periodical strategies based on indicators such as Turnover and Sharpe-Ratio. Our results suggest that rebalancing strategies based on signals from control charts outperform those based solely on exogenous criteria, thus yielding economical gains to the investor.
关键词：Global Minimum Variance Portfolio;Statistical Processes Control;Control Charts;Portfólio de Variância Mínima Global (PVMG);Controle Estatístico de Processos;Gráficos de controle.