Optimal Asset Rebalancing in the Presence of Transactions Costs
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- Hayne Leland., 1996. "Optimal Asset Rebalancing in the Presence of Transactions Costs," Research Program in Finance Working Papers RPF-261, University of California at Berkeley.
References listed on IDEAS
- Leland, Hayne E, 1985.
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Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
- Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers 144, University of California at Berkeley.
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- Constantinides, George M, 1986. "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, University of Chicago Press, vol. 94(4), pages 842-862, August.
- Dumas, Bernard, 1991.
"Super contact and related optimality conditions,"
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- Bernard Dumas, 1988. "Super-contact and Related Optimality Condition," Working Papers hal-00612643, HAL.
- Dumas, Bernard & Luciano, Elisa, 1991. "An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs," Journal of Finance, American Finance Association, vol. 46(2), pages 577-595, June.
- Hayne Leland and Gregory Connor., 1995. "Optimal Cash Management for Investment Funds," Research Program in Finance Working Papers RPF-244, University of California at Berkeley.
Citations
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Cited by:
- Samuel Kyle Jones & Joe Bert Stine, 2010. "Expected utility and the non-normal returns of common portfolio rebalancing strategies," Journal of Asset Management, Palgrave Macmillan, vol. 10(6), pages 406-419, February.
- Levy, Moshe, 2024. "Does constant asset allocation dominate buy-and-hold?," Finance Research Letters, Elsevier, vol. 62(PB).
- Gandolfi, G. & Sabatini, A. & Rossolini, M., 2007. "PID feedback controller used as a tactical asset allocation technique: The G.A.M. model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 71-78.
- Hiroatsu Tanaka & Naohiko Baba, 2003. "Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence," Bank of Japan Working Paper Series 03-E-2, Bank of Japan.
- Andrew Ang & Morten Sorensen, 2012. "Risks, Returns, and Optimal Holdings of Private Equity: A Survey of Existing Approaches," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-27.
- Hibiki Norio & Yamamoto Rei, 2014. "Optimal Symmetric No-Trade Ranges in Asset Rebalancing Strategy with Transaction Costs: An Application to the Government Pension Investment Fund in Japan," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 8(2), pages 293-327, July.
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- G - Financial Economics
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