A New Portfolio Rebalancing Model with Transaction Costs

[摘要] A portfolio rebalancing model withself-finance strategy and consideration of V-shaped transaction costis presented in this paper. Our main contribution is that a newconstraint is introduced to confirm that the rebalance necessity of theexisting portfolio needs to be adjusted. The constraint isconstructed by considering both the transaction amount andtransaction cost without any additional supply to the investmentamount. The V-shaped transaction cost function is used to calculatethe transaction cost of the portfolio, and conditional value at risk(CVaR) is used to measure the risk of the portfolios. Computationaltests on practical financial data show that the proposed model iseffective and the rebalanced portfolio increases the expectedreturn of the portfolio and reducesthe CVaR risk of the portfolio.

[学科分类] 应用数学