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Automated portfolio rebalancing: Automatic erosion of investment performance?
16 references·2 citing·40 second hop
Automated portfolio rebalancing: Automatic erosion of investment performance? (2020)Automated portfolio rebalancing: Automati…How Does Household Portfolio Diversification Vary with Financial Literacy and Financial Advice? (2014)How Does Household Portfolio …Value and Momentum Everywhere (2013)Value and Momentum EverywhereHandbook of the Economics of Finance (2013)Handbook of the Economics of …Just How Much Do Individual Investors Lose by Trading? (2008)Just How Much Do Individual I…Equity Portfolio Diversification (2008)Equity Portfolio Diversificat…Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation (2008)Do Wealth Fluctuations Genera…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Trusting the Stock Market (2005)Trusting the Stock MarketBehavioral Portfolio Theory (2000)Behavioral Portfolio TheoryDeterminants of Portfolio Performance II: An Update (1991)Determinants of Portfolio Per…Determinants of Portfolio Performance (1986)Determinants of Portfolio Per…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The Influence of ESG Ratings On Idiosyncratic Stock Risk: The Unrated, the Good, the Bad, and the Sinners (2023)The Influence of ESG Ratings …Investment in risky assets and participation in the financial market: does financial literacy matter? (2023)Investment in risky assets an…Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis (2005)Equilibrium Underdiversification and the Preference for Skewness (2007)Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010)Theory of games and economic behavior (2019)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Cross-Section of Expected Stock Returns (1992)Time Series Momentum (2011)Does Academic Research Destroy Stock Return Predictability? (2015)Law and Finance (1998)Social Interaction and Stock‐Market Participation (2004)Does Culture Affect Economic Outcomes? (2006)Financial Literacy and Stock Market Participation (2007)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2017)Availability: A heuristic for judging frequency and probability (1973)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Industry costs of equity (1997)Presidential Address: The Cost of Active Investing (2008)The Behavior of Individual Investors (2013)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2005Trusting the Stock Market2,242 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 2008Equity Portfolio Diversification1,221 cited
  • 2000Behavioral Portfolio Theory1,040 cited
  • 1986Determinants of Portfolio Performance1,031 cited
  • 2008Just How Much Do Individual Investors Lose by Trading?952 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1991Determinants of Portfolio Performance II: An Update634 cited
  • 2014How Does Household Portfolio Diversification Vary with Financial Literacy and Financial Advice?596 cited
  • 2008Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation

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  • 2023The Influence of ESG Ratings On Idiosyncratic Stock Risk: The Unrated, the Good, the Bad, and the Sinners39 cited
  • 2023Investment in risky assets and participation in the financial market: does financial literacy matter?16 cited