Private wealth management is the investment management specialization focused on high-
net-worth individuals and families. Portfolio design and investment solutions in private …

Portfolio management is an ongoing process of constructing portfolios that balances an
investor's objectives with the portfolio manager's expectations about the future. This dynamic …

A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed
portfolio weights, is an active strategy. Winning asset classes are sold and losers are …

As in continuous time, the nontrading region (NTR) in a mean-variance model with fixed,
proportional, and quadratic trading costs is a singleton only for pure quadratic costs. Utility …

The present study uses data from the US for the 20-year period 1983-2012 to examine
whether there is evidence that statistically significant value exists for various portfolio …

There is now a substantial literature on the effects of rebalancing on portfolio performance.
However, this literature contains frequent misattribution between 'rebalancing returns', which …

There is a widespread perception that it is optimal to keep portfolio weights constant over
time, and that the optimal rebalancing frequency is just a question of the transaction cost …

There is now a substantial literature on the effects of rebalancing on portfolio performance. It
is widely argued in the theoretical literature that rebalanced strategies are inherently likely to …

Although the Sukuk market is rapidly growing, it still faces many challenges. The “Buy and
hold” effect slows down this growth as it freezes the exchange of these assets in the …

The rebalancing rule applied to a multiasset class portfolio will have a significant impact on
both risk and return (Arnott and Lovell [1993]; Chan and Ramkumar [2011]). All portfolios …