000			04533nam a2200469Ii 4500
001			9781315120676
003			FlBoTFG
005			20211012161516.0
006			m o d
007			cr
008			190122s2018 fluab ob 001 0 eng d
020			_a9781315120676(e-book : PDF)
035			_a(OCoLC)1062395803
040			_aFlBoTFG _cFlBoTFG _erda
050		4	_aHG4529.5
072		7	_aMAT _x000000 _2bisacsh
072		7	_aMAT _x029000 _2bisacsh
072		7	_aBUS _x027000 _2bisacsh
072		7	_aPBW _2bicscc
082	0	4	_a332.6 _223
100	1		_aQian, Edward E., _eauthor.
245	1	0	_aPortfolio Rebalancing / _cby Edward E. Qian.
250			_aFirst edition.
264		1	_aBoca Raton, FL : _bChapman and Hall/CRC, _c2018.
300			_a1 online resource (262 pages) : _b130 illustrations, text file, PDF.
336			_atext _2rdacontent
337			_acomputer _2rdamedia
338			_aonline resource _2rdacarrier
490	1		_aChapman and Hall/CRC Financial Mathematics Series
504			_aIncludes bibliographical references and index.
505	0	0	_tTABLE OF CONTENTS -- Preface -- 1. Introduction -- 1.1 Risk Management -- 1.2 Rebalancing Alpha -- 1.3 Diversification Return, Volatility Effect -- 1.4 Serial Correlation and Rebalancing Alpha -- 1.5 New Topics in Portfolio Rebalancing -- 1.6 Outline of the Book -- 2. A Brief Review of Portfolio Theory -- 2.1 Arithmetic and Geometric Means -- 2.2 Return Volatilities -- 2.3 Relationships between Arithmetic and Geometric Means -- 2.4 Portfolio Return and Volatility -- 2.5 Serial Correlation and Volatility of Multi-Period Returns -- 3. Portfolio Rebalancing -- 3.1 Simple Examples -- 3.2 Rebalancing Long-Only Portfolios -- 3.3 Rebalancing Long-Short Portfolios -- 3.4 Rebalancing Alpha -- 4. Volatility Effect and Return Effect -- 4.1 Definitions of Two Effects -- 4.2 Positive Return Effect of Long-Only Portfolios -- 4.3 Positive Volatility Effect of Long-Only Portfolios -- 4.4 Cases of Positive and Negative Rebalancing Alphas -- 4.5 Two-Asset Long-Short Portfolios -- 5. Analysis of Volatility Effect -- 5.1"Diversification Return" -- 5.2 Maximizing "Diversification Return" -- 5.3 Diversification Returns of Long-Short Portfolios -- 6. Analysis of Return Effect -- 6.1 Return Effect of Long-Only Portfolios -- 6.2 The Impact of Cross-Sectional Serial Correlations on Return Effect -- 6.3 Approximating Return Effects of Long-Short Portfolios -- 7. Analysis of Rebalancing Alpha -- 7.1 Rebalancing Alpha of Two-Asset Portfolios -- 7.2 Rebalancing Alpha of General Portfolios -- 8. Asset Allocation Portfolios -- 8.1 Traditional 60/40 portfolios -- 8.2 Risk Parity portfolios -- 9. ASSET CLASS PORTFOLIOS -- 9.1 Stock portfolios -- 9.2 Bond portfolios -- 9.3 Commodity portfolios -- 10. Rebalancing Alpha and Mean Reversion -- 10.1 Two-Asset Two-Period Case -- 10.2 Multiple-Asset Two-Period Case -- 10.3 Two-Asset Three-Period Case -- 10.4 Multiple-Asset Three-Period Case -- 10.5 The General Case -- 10.6 Incomplete Rebalance -- 11. Risk and Return of Rebalancing Effects -- 11.1 Terminal Wealth -- 11.2 Expected Terminal Wealth -- 11.3 Variance of Terminal Wealth -- 11.4 Comparison of Two Variances -- 11.5 A General Two-Asset Case -- 11.6 The Impact of Serial Correlations -- 11.7 Terminal Wealth of Long-Short Portfolio -- 12. Threshold Rebalancing -- 12.1 Return dispersion or weight dispersion as a threshold -- 12.2 Numerical simulation of threshold rebalancing.
520	3		_aThe goal of Portfolio Rebalancing is to provide mathematical and empirical analysis of the effects of portfolio rebalancing on portfolio returns and risks. The mathematical analysis answers the question of when and why fixed-weight portfolios might outperform buy-and-hold portfolios based on volatilities and returns. The empirical analysis, aided by mathematical insights, will examine the effects of portfolio rebalancing in capital markets for asset allocation portfolios and portfolios of stocks, bonds, and commodities.
530			_aAlso available in print format.
650		7	_aMATHEMATICS / Probability & Statistics / General. _2bisacsh
650		7	_aBUSINESS & ECONOMICS / Finance. _2bisacsh
650		0	_aPortfolio management _xMathematical models.
655		0	_aElectronic books.
710	2		_aTaylor and Francis.
776	0	8	_iPrint version: _z9781498732444
830		0	_aChapman and Hall/CRC Financial Mathematics Series.
856	4	0	_uhttps://www.taylorfrancis.com/books/9781315120676 _zClick here to view
999			_c546210 _d546145