Comparative Analysis of Multi-period Portfolio Strategies

摘要：

This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the result of the practical examples, we find that the unadjusted investment portfolio known as the buy-and-hold strategy, without regard to transaction cost, is superior to the simple rebalancing strategy in the long run. In fact, this is also the case when the transaction cost considered. In addition, the buy-and-hold strategy is inferior to the stochastic rebalancing strategy when the investment risk is considerably high.

关键词： the buy-and-hold strategy the stochastic rebalancing strategyfor Duan Lis strategy), the simple rebalancing strategy (or Tobins strategy), non-Tobins strategy

作者: Heping Xiong Yiheng Xu Yi Xiao

作者单位: Department of Finance, Economics and Management School, Wuhan University, Wuhan, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 266-269

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）