TY - JOUR T1 - Rebalancing Strategies for Multi-Period Asset Allocation JF - The Journal of Wealth Management SP - 51 LP - 58 DO - 10.3905/jwm.2001.320412 VL - 4 IS - 2 AU - John M. Mulvey AU - Nan Lu AU - Jon Sweemer Y1 - 2001/07/31 UR - https://pm-research.com/content/4/2/51.abstract N2 - 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. ER -