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dc.contributor.authorDrenovak, Mikica-
dc.contributor.authorRanković, Vladimir-
dc.date.accessioned2023-05-23T20:44:27Z-
dc.date.available2023-05-23T20:44:27Z-
dc.date.issued2014-
dc.identifier.citationDrenovak, M., & Ranković, V. (2014). Markowitz portfolio rebalancing with turnover monitoring. Ekonomski horizonti, 16(3), 211-223. https://doi.org/10.5937/ekonhor1403211den_US
dc.identifier.issn1450-863Xen_US
dc.identifier.urihttps://scidar.kg.ac.rs/handle/123456789/17751-
dc.description.abstractActive portfolio management implies periodic rebalancing, i.e. a change in the structure of the existing portfolio. Rebalancing is aimed at improving the performance of the managed portfolio by adjusting it with respect to the given objective. The main objective of this research is to test two portfolio rebalancing strategies, one based on market risk and another on optimal risk-return tradeoff. We use optimal volatility or Sharpe of portfolio as a criterion for the initial portfolio allocation and rebalancing over the observed period. In order to obtain solutions that can be applied in practice, we impose rebalance triggers designed to control the portfolio turnover and corresponding transaction costs. the results suggest that the minimum volatility strategy can be accepted as an eligible investment alternative for risk adverse investors since it provides superior risk performance compared to the reference S&P 100 index and 1/n portfolio, with a relatively low level of turnover and a low rebalance frequency.en_US
dc.publisherUniversity of Kragujevac, Faculty of Economyen_US
dc.rightsinfo:eu-repo/semantics/openAccess-
dc.sourceEkonomski horizonti-
dc.subjectportfolio managementen_US
dc.subjectvolatilityen_US
dc.subjectSharpe ratioen_US
dc.subjectportfolio rebalancingen_US
dc.subjectturnoveren_US
dc.titleMarkowitz portfolio rebalancing with turnover monitoringen_US
dc.title.alternativeREBALANS PORTFOLIJA HARTIJA OD VREDNOSTI PRIMENOM MODELA MARKOWITZ-A SA KONTROLOM OBIMA REBALANSAen_US
dc.typearticleen_US
dc.description.versionPublisheden_US
dc.identifier.doi10.5937/ekonhor1403211den_US
dc.type.versionPublishedVersionen_US
Налази се у колекцијама:Faculty of Economics, Kragujevac

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