Concepedia

Rebalancing Performance Evaluation

Rebalancing Performance Evaluation is a methodological framework within portfolio management that systematically assesses the efficacy and financial impact of rebalancing strategies by measuring risk-adjusted returns, transaction costs, and deviation from target asset allocations over time.

26

Publications

816

Citations

60

Authors

31

Institutions

Publications per year

2017–2026

8

Parents

Publications

26

Path-Dependence of Leveraged ETF Returns

Marco Avellaneda, Stanley Zhang · SIAM Journal on Financial Mathematics · 2010 · 134 citations

, , +16

Optimal Portfolio Rebalancing with Transaction Costs

Christopher Donohue, Kenneth Yip · The Journal of Portfolio Management · 2003 · 87 citations

, , +17

Dynamic portfolio rebalancing through reinforcement learning

Qing Yang Eddy Lim, Qi Cao, Chai Quek · Neural Computing and Applications · 2021 · 55 citations · Full text

, , +17

Path-Dependence of Leveraged ETF Returns

Marco Avellaneda, Stanley Jian Zhang · SSRN Electronic Journal · 2009 · 54 citations · Full text

, , +16

Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

Carlos Esparcia, Francisco Jareño, Zaghum Umar · The North American Journal of Economics and Finance · 2022 · 53 citations · Full text

, , +17

1–5 of 26

Authors

60

  1. MA
    Marco Avellaneda

    Courant Institute of Mathematical Sciences, United States

    3 publications · 206 citations

    3

    h-index

  2. GE
    Gary E. Porter

    John Carroll University, United States

    1 publications · 26 citations

    1

    h-index

  3. CL
    Christian L. Dunis

    Liverpool John Moores University, United Kingdom

    1 publications · 12 citations

    1

    h-index

  4. SZ
    Stanley Zhang

    St. Michael's Hospital, Canada

    1 publications · 134 citations

    1

    h-index

  5. DB
    David Blitz

    Erasmus University Rotterdam, Netherlands

    1 publications · 21 citations

    1

    h-index

1–5 of 60

Institutions

31

  1. New York University

    New York, United States

    2 h-index

    4 publications

    144 citations

  2. Courant Institute of Mathematical Sciences

    New York, United States

    2 h-index

    3 publications

    90 citations

  3. University of Iowa

    Iowa City, United States

    1 h-index

    1 publications

    35 citations

  4. University of Cagliari

    Cagliari, Italy

    1 h-index

    2 publications

    24 citations

  5. University of Florida

    Gainesville, United States

    1 h-index

    3 publications

    42 citations

  6. Drexel University

    Philadelphia, United States

    1 h-index

    1 publications

    35 citations

  7. Universidad del Noreste

    Tampico, Mexico

    1 h-index

    1 publications

    26 citations

  8. The University of Melbourne

    Melbourne, Australia

    1 h-index

    1 publications

    18 citations

1–8 of 31

Venues

  1. SSRN Electronic Journal

    Repository · 5 publications · 126 citations

    5

    h-index

  2. The Journal of Portfolio Management

    JPM · 4 publications · 158 citations

    4

    h-index

  3. SIAM Journal on Financial Mathematics

    1 publications · 134 citations

    1

    h-index

  4. Journal of Futures Markets

    1 publications · 18 citations

    1

    h-index

  5. Financial Analysts Journal

    FAJ · 1 publications · 35 citations

    1

    h-index

1–5