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초록
영어
We propose a new portfolio rule for a static portfolio selection problem in the presence of transaction costs. The new portfolio rule is formed by combining an extant portfolio rule with the no-rebalancing portfolio rule which speci es the current portfolio weights before rebalancing as the desired portfolio weights. The new portfolio rule is easy to implement, not only becasue the combination weight is analytically derived, but also becasue the new rule can be applied into most extant portfolio rules. Simulation and out-of-sample evidences show that the new portfolio rule can greatly improve portfolio performance, compared to the extant portfolio rules to be combined.
목차
Abstract
1 Introduction
2 Methodology
2.1 New Portfolio Rule
2.2 Benchmark Portfolio Rules
3 Simulation
4 Out-of-Sample Performance
5 Conclusion
References
1 Introduction
2 Methodology
2.1 New Portfolio Rule
2.2 Benchmark Portfolio Rules
3 Simulation
4 Out-of-Sample Performance
5 Conclusion
References
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