Title

Analysis of Fixed and Biased Asset Allocation Rebalancing Strategies

Document Type

Article

Publication Title

Managerial Finance

Publication Date

2016

School

W. Fielding Rubel School of Business

Department

Department of Business Administration

Abstract

Over the years a number of tactical, dynamic and strategic approaches for asset allocation have been developed to improve the objectivity of portfolio management. One of the most popular approaches is to annually rebalance a portfolio of six to ten assets classes back to an equal or fixed percentage. Most researchers agree that this is essentially a contrarian strategy. The purpose of this paper is to develop and evaluate an asset allocation methodology using a biasing factor that can implement a momentum strategy for investors who might prefer momentum investing.