PORTFOLIO REBALANCING MODEL WITH TRANSACTION COSTS AND LOWER SEMI-ABSOLUTE DEVIATION RISK MEASURE

Branka Marasovic ()
Additional contact information
Branka Marasovic: University of Split

Economic Thought and Practice, 2016, vol. 25, issue 2, 515-534

Abstract: This paper presents a portfolio rebalancing model based on two criteria (return and risk) with transaction costs. Lower semi-absolute deviation is used as a risk measure. It belongs to the set of lower partial risk measures which are adequate measure of risk even in cases when returns are not normally distributed. The model allows different costs for buying and selling securities. In order to find efficient portfolio, using this model, the solution for a linear programming problem has to be found. Furthermore, the presented model is applied on the Croatian capital market with the aim to investigate an impact of transaction costs on rebalancing an investment portfolio and to investigate when the benefit of active portfolio management on the Croatian capital market exceeds the transaction costs of portfolio rebalancing.

Keywords: Rebalancing portfolio; mean-lower partial risk measures; transaction costs (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hrcak.srce.hr/index.php/clanak/252984 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:avo:emipdu:v:25:y:2016:i:2:p:515-534

Ordering information: This journal article can be ordered from
Economic Thought and Practice, University of Dubrovnik, Branitelja Dubrovnika 29, 20000 Dubrovnik
https://emip.unidu.hr/

Access Statistics for this article

Economic Thought and Practice is currently edited by Nebojsa Stojcic

More articles in Economic Thought and Practice from Department of Economics and Business, University of Dubrovnik Contact information at EDIRC.
Bibliographic data for series maintained by Nebojsa Stojcic ().