Policy Portfolios and Rebalancing Behavior
Martin L. Leibowitz and Anthony Bova
The Journal of Portfolio Management Winter 2011, 37 (2) 60-71; DOI: https://doi.org/10.3905/jpm.2011.37.2.060
Martin L. Leibowitz
is a managing director at Morgan Stanley in New York, NY.
Anthony Bova
is a vice president at Morgan Stanley in New York, NY.
Explore our content to discover more relevant research
In this issue
Policy Portfolios and Rebalancing Behavior
Martin L. Leibowitz, Anthony Bova
The Journal of Portfolio Management Jan 2011, 37 (2) 60-71; DOI: 10.3905/jpm.2011.37.2.060
Jump to section
- Article
- Abstract
- THE ALLOCATION MODEL
- A 30% MARKET DECLINE
- REBALANCING LIQUIDITY
- COMMON REBALANCING RATIONALES
- A CRITIQUE OF THE REBALANCING RATIONALES
- SHIFTS IN RISK TOLERANCE
- STRESS BETA EFFECTS
- PORTFOLIOS DIFFERENT FROM THE MARKET
- SHORTFALL
- PRO-ACTIVE REBALANCING
- SCENARIO TESTS AND CONTINGENCY PLANNING
- CONCLUSION
- Appendix
- REFERENCES
- Info & Metrics
- PDF (Subscribers Only)
- PDF (Subscribers Only)