Target volatility strategies: optimal rebalancing boundary for transaction cost minimization Article Swipe
Zefeng Bai
,
Dessislava A. Pachamanova
,
Victoria Steblovskaya
,
Kai Wallbaum
·
YOU?
·
· 2025
· Open Access
·
· DOI: https://doi.org/10.1007/s11408-025-00486-5
YOU?
·
· 2025
· Open Access
·
· DOI: https://doi.org/10.1007/s11408-025-00486-5
Transaction costs are a major factor affecting portfolio returns in asset management. We propose an enhanced target volatility strategy to reduce the deleterious effect of transaction costs by adding rebalancing boundaries to the target volatility asset allocation mechanism. We formulate a constrained optimization problem to determine the optimal rebalancing boundary level. Based on simulations using an overlapping block bootstrap approach, we find that the extended target volatility portfolio with rebalancing boundary levels can provide better investment outcomes (higher portfolio returns and reduced transaction costs) without losing the ability to control portfolio risk under a pre-determined threshold. Further computational analysis on different real market scenarios confirms these findings and allows us to summarize insights on the appropriate boundaries to use under different market conditions and transaction cost magnitudes. Our findings have important practical implications given the popularity of the target volatility investment strategy as well as other asset management concepts with a dynamic asset allocation mechanism.
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- Type
- article
- Language
- en
- Landing Page
- https://doi.org/10.1007/s11408-025-00486-5
- https://link.springer.com/content/pdf/10.1007/s11408-025-00486-5.pdf
- OA Status
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- References
- 32
- Related Works
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- OpenAlex ID
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All OpenAlex metadata
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https://openalex.org/W4412711472Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.1007/s11408-025-00486-5Digital Object Identifier
- Title
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Target volatility strategies: optimal rebalancing boundary for transaction cost minimizationWork title
- Type
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articleOpenAlex work type
- Language
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enPrimary language
- Publication year
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2025Year of publication
- Publication date
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2025-07-29Full publication date if available
- Authors
-
Zefeng Bai, Dessislava A. Pachamanova, Victoria Steblovskaya, Kai WallbaumList of authors in order
- Landing page
-
https://doi.org/10.1007/s11408-025-00486-5Publisher landing page
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https://link.springer.com/content/pdf/10.1007/s11408-025-00486-5.pdfDirect link to full text PDF
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YesWhether a free full text is available
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hybridOpen access status per OpenAlex
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https://link.springer.com/content/pdf/10.1007/s11408-025-00486-5.pdfDirect OA link when available
- Concepts
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Economics, Transaction cost, Volatility (finance), Minification, Econometrics, Financial economics, Microeconomics, Mathematical optimization, MathematicsTop concepts (fields/topics) attached by OpenAlex
- Cited by
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0Total citation count in OpenAlex
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32Number of works referenced by this work
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10Other works algorithmically related by OpenAlex
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| abstract_inverted_index.losing | 86 |
| abstract_inverted_index.market | 103, 122 |
| abstract_inverted_index.reduce | 21 |
| abstract_inverted_index.target | 17, 34, 66, 139 |
| abstract_inverted_index.(higher | 78 |
| abstract_inverted_index.Further | 97 |
| abstract_inverted_index.ability | 88 |
| abstract_inverted_index.control | 90 |
| abstract_inverted_index.dynamic | 152 |
| abstract_inverted_index.optimal | 48 |
| abstract_inverted_index.problem | 44 |
| abstract_inverted_index.propose | 14 |
| abstract_inverted_index.provide | 74 |
| abstract_inverted_index.reduced | 82 |
| abstract_inverted_index.returns | 9, 80 |
| abstract_inverted_index.without | 85 |
| abstract_inverted_index.Abstract | 0 |
| abstract_inverted_index.analysis | 99 |
| abstract_inverted_index.boundary | 50, 71 |
| abstract_inverted_index.concepts | 149 |
| abstract_inverted_index.confirms | 105 |
| abstract_inverted_index.enhanced | 16 |
| abstract_inverted_index.extended | 65 |
| abstract_inverted_index.findings | 107, 129 |
| abstract_inverted_index.insights | 113 |
| abstract_inverted_index.outcomes | 77 |
| abstract_inverted_index.strategy | 19, 142 |
| abstract_inverted_index.affecting | 7 |
| abstract_inverted_index.approach, | 60 |
| abstract_inverted_index.bootstrap | 59 |
| abstract_inverted_index.determine | 46 |
| abstract_inverted_index.different | 101, 121 |
| abstract_inverted_index.formulate | 40 |
| abstract_inverted_index.important | 131 |
| abstract_inverted_index.portfolio | 8, 68, 79, 91 |
| abstract_inverted_index.practical | 132 |
| abstract_inverted_index.scenarios | 104 |
| abstract_inverted_index.summarize | 112 |
| abstract_inverted_index.allocation | 37, 154 |
| abstract_inverted_index.boundaries | 31, 117 |
| abstract_inverted_index.conditions | 123 |
| abstract_inverted_index.investment | 76, 141 |
| abstract_inverted_index.management | 148 |
| abstract_inverted_index.mechanism. | 38, 155 |
| abstract_inverted_index.popularity | 136 |
| abstract_inverted_index.threshold. | 96 |
| abstract_inverted_index.volatility | 18, 35, 67, 140 |
| abstract_inverted_index.Transaction | 1 |
| abstract_inverted_index.appropriate | 116 |
| abstract_inverted_index.constrained | 42 |
| abstract_inverted_index.deleterious | 23 |
| abstract_inverted_index.magnitudes. | 127 |
| abstract_inverted_index.management. | 12 |
| abstract_inverted_index.overlapping | 57 |
| abstract_inverted_index.rebalancing | 30, 49, 70 |
| abstract_inverted_index.simulations | 54 |
| abstract_inverted_index.transaction | 26, 83, 125 |
| abstract_inverted_index.implications | 133 |
| abstract_inverted_index.optimization | 43 |
| abstract_inverted_index.computational | 98 |
| abstract_inverted_index.pre-determined | 95 |
| cited_by_percentile_year | |
| corresponding_author_ids | https://openalex.org/A5042923866 |
| countries_distinct_count | 2 |
| institutions_distinct_count | 4 |
| corresponding_institution_ids | https://openalex.org/I184889055, https://openalex.org/I267592682, https://openalex.org/I93320256 |
| citation_normalized_percentile.value | 0.41353612 |
| citation_normalized_percentile.is_in_top_1_percent | False |
| citation_normalized_percentile.is_in_top_10_percent | False |