Percorrer por autor "Santos, Sara Filipa Martins dos"
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- Portfolio rebalancing : how and how often?Publication . Santos, Sara Filipa Martins dos; Kokkonen, Joni AleksiPortfolio rebalancing can be a fundamental tool to ensure portfolio's risk and return characteristics. But determining the most appropriate rebalancing strategy continues to be subject of analysis. The present study tests how hypothetical portfolios performance behave when rebalanced by different strategies, when transaction costs are presented. The study uses historical data from U.S. stocks and bonds between December 1998 and December 2018. The findings indicate that the optimal rebalancing strategy depends on the risk tolerance of the investor and, despite the negligible differences in risk-adjusted return measures between the passive strategy and the active strategies, in general, rebalancing enhances portfolio performance and return.