Skip to main content Accessibility help

We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.

Close cookie message
×
Home
Hostname: page-component-56f9d74cfd-mgjtl Total loading time: 0.259 Render date: 2022-06-26T16:55:42.109Z Has data issue: true Feature Flags: { "shouldUseShareProductTool": true, "shouldUseHypothesis": true, "isUnsiloEnabled": true, "useRatesEcommerce": false, "useNewApi": true }
  • English
British Actuarial Journal British Actuarial Journal

Article contents

The Investment Return from a Portfolio with a Dynamic Rebalancing Policy

Published online by Cambridge University Press:  10 June 2011

A.J. Wise
A.J. Wise
Affiliation:
Watson Wyatt Partners, 21 Tothill Street, Westminster, London, SW1H 9LL, U.K. Tel: +44 (0)20 7222 8033
Get access Rights & Permissions[Opens in a new window]

Abstract

An analysis is made of the effect on portfolio performance if assets are continually rebalanced to constant market value proportions, relative to the passive ‘buy and hold’ strategy. The probability that one strategy outperforms the other is evaluated on the basis of a geometric diffusion model of market prices and by reference to historical data.

Keywords

InvestmentRebalancing
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 2 , Issue 4 , 01 October 1996 , pp. 975 - 1001
Copyright
Copyright © Institute and Faculty of Actuaries 1996

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Boyle, P.P. (1978). Immunization under stochastic models of the term structure. J.I.A. 105, 177–187.Google Scholar
Brennan, M.J. & Schwartz, E.S. (1985). On the geometric mean: a note. Journal of Financial and Quantitative Analysis, 20, 119–122.CrossRefGoogle Scholar
Hull, J.C. (1993). Options, futures, and other derivative securities. Prentice-Hall Inc.Google Scholar
Jamshidian, F. (1992). Asymptotically optimal portfolios. Mathematical Finance, 2, 131–150.CrossRefGoogle Scholar
Perold, A.F. & Sharpe, W.F. (1988). Dynamic strategies for asset allocation. Financial Analysts Journal, January-February.Google Scholar
Wilkie, A.D. (1995). The risk premium on ordinary shares. B.A.J. 1, 251–293.Google Scholar
Wilkie, A.D. (1993). Can dividend yield predict share price changes? Transactions of the 3rd AFIR Colloquium, 335.Google Scholar
Wise, A.J. (1993). The investment return from a constantly rebalanced asset mix. Transactions of the 3rd AFIR Colloquium, 349.Google Scholar
1
Cited by

Save article to Kindle

To save this article to your Kindle, first ensure coreplatform@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

The Investment Return from a Portfolio with a Dynamic Rebalancing Policy
Available formats
×

Save article to Dropbox

To save this article to your Dropbox account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you used this feature, you will be asked to authorise Cambridge Core to connect with your Dropbox account. Find out more about saving content to Dropbox.

The Investment Return from a Portfolio with a Dynamic Rebalancing Policy
Available formats
×

Save article to Google Drive

To save this article to your Google Drive account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you used this feature, you will be asked to authorise Cambridge Core to connect with your Google Drive account. Find out more about saving content to Google Drive.

The Investment Return from a Portfolio with a Dynamic Rebalancing Policy
Available formats
×
×

Reply to: Submit a response

Please enter your response.

Your details

Please enter a valid email address.

Conflicting interests

Do you have any conflicting interests? *