Concepedia

Mean-variance Rebalancing

Mean-Variance Rebalancing is a portfolio rebalancing strategy that belongs to the class of quantitative investment methods and is distinguished by its reliance on optimizing the trade-off between expected return and portfolio variance, typically through periodic adjustments to maintain an efficient frontier alignment based on mean-variance optimization theory.

25

Publications

1.1K

Citations

46

Authors

32

Institutions

Publications per year

2017–2026

5

Parents

Publications

25

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?

Michiel De Pooter, Martin Martens, Dick van Dijk · Econometric Reviews · 2008 · 127 citations

, , +17

Dynamic Asset Allocation in a Mean-Variance Framework

Isabelle Bajeux‐Besnainou, Roland Portait · Management Science · 1998 · 127 citations

, , +17

Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation

Richard O. Michaud, Robert O Michaud · University of Maribor digital library (University of Maribor) · 2008 · 87 citations · Full text

, , +17

Estimation Error and Portfolio Optimization: A Resampling Solution

Richard O. Michaud · SSRN Electronic Journal · 2007 · 85 citations · Full text

, , +17

Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework

Lin He, Zongxia Liang · Insurance Mathematics and Economics · 2013 · 83 citations

, , +15

1–5 of 25

Authors

46

  1. PD
    Piti Disyatat

    Bank for International Settlements, Switzerland

    3 publications · 56 citations

    3

    h-index

  2. PF
    Peter Forsyth

    University of Waterloo, Canada

    2 publications · 41 citations

    2

    h-index

  3. RO
    Richard O. Michaud

    Healthcentric Advisors, United States

    2 publications · 172 citations

    2

    h-index

  4. GG
    Gastón Gelos

    International Monetary Fund, United States

    2 publications · 44 citations

    2

    h-index

  5. JE
    John E. Mitchell

    Rensselaer Polytechnic Institute, United States

    2 publications · 51 citations

    2

    h-index

1–5 of 46

Institutions

32

  1. Renmin University of China

    Beijing, China

    2 h-index

    2 publications

    138 citations

  2. Rensselaer Polytechnic Institute

    Troy, United States

    2 h-index

    3 publications

    74 citations

  3. International Monetary Fund

    Washington D.C., United States

    2 h-index

    4 publications

    74 citations

  4. State Street (United States)

    Boston, United States

    1 h-index

    1 publications

    20 citations

  5. University of Edinburgh

    Edinburgh, United Kingdom

    1 h-index

    1 publications

    26 citations

  6. Mid-Atlantic Christian University

    Elizabeth City, United States

    1 h-index

    1 publications

    16 citations

  7. Beijing Institute of Technology

    Beijing, China

    1 h-index

    1 publications

    55 citations

  8. University of Cagliari

    Cagliari, Italy

    1 h-index

    2 publications

    24 citations

1–8 of 32

Venues

  1. SSRN Electronic Journal

    Repository · 5 publications · 177 citations

    5

    h-index

  2. The Journal of Trading

    JOT · 1 publications · 71 citations

    1

    h-index

  3. Econometric Reviews

    1 publications · 127 citations

    1

    h-index

  4. Quantitative Finance

    1 publications · 23 citations

    1

    h-index

  5. Risk Analysis

    1 publications · 45 citations

    1

    h-index

1–5