Expected utility and the non-normal returns of common portfolio rebalancing strategies

Samuel Kyle Jones; Joe Bert Stine

doi:10.1057/jam.2009.22

Expected utility and the non-normal returns of common portfolio rebalancing strategies

Economics and Finance

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	406-419
Number of pages	14
Journal	Journal of Asset Management
Volume	10
Issue number	6
DOIs	https://doi.org/10.1057/jam.2009.22
State	Published - Feb 2010

ASJC Scopus Subject Areas

Business and International Management
Strategy and Management
Information Systems and Management

Keywords

Expected utility
Monte carlo simulation
Portfolio rebalancing

Access to Document

10.1057/jam.2009.22

Cite this

@article{be0c5170eb3f4accb6eccd831a2eebe7,

title = "Expected utility and the non-normal returns of common portfolio rebalancing strategies",

keywords = "Expected utility, Monte carlo simulation, Portfolio rebalancing",

author = "Jones, {Samuel Kyle} and Stine, {Joe Bert}",

year = "2010",

month = feb,

doi = "10.1057/jam.2009.22",

language = "English",

volume = "10",

pages = "406--419",

number = "6",

}

TY - JOUR

T1 - Expected utility and the non-normal returns of common portfolio rebalancing strategies

AU - Jones, Samuel Kyle

AU - Stine, Joe Bert

PY - 2010/2

Y1 - 2010/2

KW - Expected utility

KW - Monte carlo simulation

KW - Portfolio rebalancing

UR - http://www.scopus.com/inward/record.url?scp=74549116383&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=74549116383&partnerID=8YFLogxK

U2 - 10.1057/jam.2009.22

DO - 10.1057/jam.2009.22

M3 - Article

AN - SCOPUS:74549116383

SN - 1470-8272

VL - 10

SP - 406

EP - 419

JO - Journal of Asset Management

JF - Journal of Asset Management

IS - 6

ER -

Expected utility and the non-normal returns of common portfolio rebalancing strategies

ASJC Scopus Subject Areas

Keywords

Access to Document

Other files and links

Cite this