Abstract:PurposeThe intention of the empirics is to contribute to the general understanding of investor responses to market price shocks. The authors review assumptions about investor behavior in response to price shocks and investigate alternative rebalancing heuristics.Design/methodology/approachThe authors use market data over 40 years to define market shocks. Portfolio rebalancing implements constrained Markowitz mean-variance (MV) heuristics.FindingsMomentum rebalancing in portfolio management outperforms contrari… Show more
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