PT  - JOURNAL ARTICLE
AU  - John M. Mulvey
AU  - Nan Lu
AU  - Jon Sweemer
TI  - Rebalancing Strategies for Multi-Period Asset Allocation
AID  - 10.3905/jwm.2001.320412
DP  - 2001 Jul 31
TA  - The Journal of Wealth Management
PG  - 51--58
VI  - 4
IP  - 2
4099  - https://pm-research.com/content/4/2/51.short
4100  - https://pm-research.com/content/4/2/51.full
AB  - Alternative investments, such as hedge funds, venture capital, and private equity, can improve portfolio performance, especially for long-term institutional and high net worth individual investors. Difficulties arise when rebalancing a portfolio that includes alternative investments due to the nature of the commitments. Transaction costs can be sizable and money flows are restricted by illiquid markets, covenants, and related restrictions. Following a review of the pros and cons of including alternative investments in a traditional portfolio, the authors show the intrinsic advantages of a multi-period asset allocation strategy and present an optimizing approach for addressing transaction costs.