A Rational Explanation of Disposition Effect: Portfolio Rebalancing with Transaction Costs

2015 ◽  
Author(s):  
Min Dai ◽  
Hong Liu ◽  
Jing Xu
Keyword(s):  
Transaction Costs ◽  
Disposition Effect ◽  
Portfolio Rebalancing ◽  
Rational Explanation

scholarly journals A Fuzzy Approach to Portfolio Rebalancing with Transaction Costs

2003 ◽  
pp. 10-19 ◽  
Author(s):  
Yong Fang ◽  
K. K. Lai ◽  
Shou-Yang Wang
Keyword(s):  
Transaction Costs ◽  
Fuzzy Approach ◽  
Portfolio Rebalancing

The Extent to Which Professional Advice Can Reduce the Disposition Effect: An Emerging Market Study

2018 ◽  
Vol 17 (2) ◽  
pp. 229-249
Author(s):  
James Bashall ◽  
Gizelle D. Willows ◽  
Darron West
Keyword(s):  
South Africa ◽  
South African ◽  
Emerging Market ◽  
Jel Classification ◽  
Disposition Effect ◽  
Individual Investors ◽  
Professional Advice ◽  
Portfolio Rebalancing ◽  
History Of

This study tests for the disposition effect in South Africa across two classes of non-professional investors: those acting in their own capacity and those acting with the assistance of professional investment advisors. The trade history of 4,840 investor accounts from a South African stockbroker was analysed over the 5-year period from October 2008 to October 2013. The results showed that individual investors in South Africa exhibit the disposition effect. However, investors acting with the assistance of professional advisors show the effect to a lesser extent which was found to be rationally justifiable on the grounds of portfolio rebalancing. JEL Classification: G11, G14, G40, G41

A multicriteria optimization model of portfolio rebalancing with transaction costs in fuzzy environment

2012 ◽  
Vol 6 (1) ◽  
pp. 61-74 ◽  
Author(s):  
Pankaj Gupta ◽  
Garima Mittal ◽  
Mukesh Kumar Mehlawat
Keyword(s):  
Transaction Costs ◽  
Optimization Model ◽  
Multicriteria Optimization ◽  
Portfolio Rebalancing ◽  
Fuzzy Environment

Portfolio rebalancing with an investment horizon and transaction costs

Omega ◽  
2013 ◽  
Vol 41 (2) ◽  
pp. 406-420 ◽  
Author(s):  
M. Woodside-Oriakhi ◽  
C. Lucas ◽  
J.E. Beasley
Keyword(s):  
Transaction Costs ◽  
Investment Horizon ◽  
Portfolio Rebalancing

Portfolio rebalancing model with transaction costs using interval optimization

OPSEARCH ◽  
2015 ◽  
Vol 52 (4) ◽  
pp. 827-860 ◽  
Author(s):  
Pankaj Kumar ◽  
Geetanjali Panda ◽  
U. C. Gupta
Keyword(s):  
Transaction Costs ◽  
Interval Optimization ◽  
Portfolio Rebalancing

Dynamic Portfolio Rebalancing with Transaction Costs and Time-Varying Expected Return

2012 ◽  
Author(s):  
Vladimir V. Zdorovenin ◽  
Jacques Pezier
Keyword(s):  
Transaction Costs ◽  
Time Varying ◽  
Expected Return ◽  
Portfolio Rebalancing ◽  
Dynamic Portfolio

Mean-Variance Portfolio Rebalancing with Transaction Costs

2019 ◽  
Author(s):  
Philip H. Dybvig ◽  
Luca Pezzo
Keyword(s):  
Transaction Costs ◽  
Portfolio Rebalancing ◽  
Mean Variance Portfolio ◽  
Mean Variance
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