Review article
PORTFOLIO REBALANCING MODEL WITH TRANSACTION COSTS AND LOWER SEMI-ABSOLUTE DEVIATION RISK MEASURE
Branka Marasović
orcid.org/0000-0002-3725-3939
; Faculty of Economics, University of Split
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
Hrčak ID:
171475
URI
Publication date:
27.12.2016.
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