Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

Optimal Portfolio Rebalancing with Transaction Costs

Christopher Donohue and Kenneth Yip
The Journal of Portfolio Management Summer 2003, 29 (4) 49-63; DOI: https://doi.org/10.3905/jpm.2003.319894
Christopher Donohue
A partner at Thunder Bay Capital Management in New York City (NY 10022).
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: chris.donohue@thunderbaycapital.com
Kenneth Yip
Chief investment officer at Thunder Bay Capital Management in New York City (NY 10022).
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: ken.yip@thunderbaycapital.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

Research has proven the optimality of a no-trade region around an investor's desired asset proportions to assure that trading occurs only when asset proportions drift outside this region, and then only to bring proportions back to the boundary of the no-trade region, not to the target proportions. Because current solution methods are complex, managers typically rely on ad hoc heuristics that are either calendar-based or volatility-based and whose performance against an optimal strategy is unknown. The authors characterize the size and shape of the no-trade region as a function of key problem parameters and compare the performance of different rebalancing strategies. The analysis suggests that extraction of key features associ-ated with optimal rebalancing allows development of more tractable rebalancing heuristics that enhance the effectiveness of optimal rebalancing.

  • © 2003 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management
Vol. 29, Issue 4
Summer 2003
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Optimal Portfolio Rebalancing with Transaction Costs
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Optimal Portfolio Rebalancing with Transaction Costs
Christopher Donohue, Kenneth Yip
The Journal of Portfolio Management Jul 2003, 29 (4) 49-63; DOI: 10.3905/jpm.2003.319894

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Optimal Portfolio Rebalancing with Transaction Costs
Christopher Donohue, Kenneth Yip
The Journal of Portfolio Management Jul 2003, 29 (4) 49-63; DOI: 10.3905/jpm.2003.319894
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • Strategic Rebalancing
  • Intelligent Rebalancing
  • A Synthesis of Modern Portfolio Theory * and Sustainable Investment
  • Tracking Error Rebalancing
  • Perspectives from the Literature of Private Wealth Management
  • Google Scholar

More in this TOC Section

  • Do Risk Factors Eat Alphas?
  • An Assessment of Terrorism-Related Investing Strategies
  • Dividends versus Share Repurchase
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies