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Portfolio Rebalancing

Edward E. Qian
€107.99
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advanced portfolio risk management
Asset Allocation Portfolios
Asset Classes
Author_Edward E. Qian
BH Approach
Category=KFFM
Category=PBW
Cauchy's Inequality
Cauchy’s Inequality
Cross-sectional Momentum
Diversification Return
empirical analysis
empirical asset analysis
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equally Weighted Portfolio
Equity Index Futures
ETF
financial econometrics
Geometric Return
Hedge Fund Portfolios
High Return Volatility
investment strategy optimization
mathematical analysis
MSCI World Index
Multi-period Return
Non-centrality Parameter
Portfolio Leverage
Portfolio Rebalancing
portfolio returns
Portfolio Weights
quantitative finance
Risk Free Asset
risk modeling
Risky Asset
Serial Correlations
Sharpe Ratio
stochastic portfolio theory
Terminal Wealth
Threshold Rebalancing
Volatility Effect

Product details

  • ISBN 9781498732444
  • Weight: 500g
  • Dimensions: 156 x 234mm
  • Publication Date: 06 Nov 2018
  • Publisher: Taylor & Francis Inc
  • Publication City/Country: US
  • Product Form: Hardback
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Description

The goal of Portfolio Rebalancing is to provide mathematical and empirical analysis of the effects of portfolio rebalancing on portfolio returns and risks. The mathematical analysis answers the question of when and why fixed-weight portfolios might outperform buy-and-hold portfolios based on volatilities and returns. The empirical analysis, aided by mathematical insights, will examine the effects of portfolio rebalancing in capital markets for asset allocation portfolios and portfolios of stocks, bonds, and commodities.
About Edward E. Qian

Edward Qian is a Chief Investment Officer with PanAgora Asset Management. He has research experience and expertise in quantitative investing, portfolio theory, and asset allocation. He is the co-author of the bestselling book, Quantitative Equity Portfolio Management: Modern Techniques and Applications.

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