#3156. Who gains and who loses on stock markets? Risk preferences and timing matter

November 2026publication date
Proposal available till 25-05-2025
4 total number of authors per manuscript0 $

The title of the journal is available only for the authors who have already paid for
Journal’s subject area:
Finance;
Business, Management and Accounting (all);
Places in the authors’ list:
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Abstract:
The research uses an agent-based multi-asset model to investigate the risk preferences and rebalancing frequency on performance measures while tracking profit and risk-adjusted return. The research analyses heterogeneous mean-variance optimizers with a quadratic utility function under different market conditions. The trading frequency is calculated by the optimal tolerance for the deviation from portfolio targets should be derived from a tradeoff between rebalancing benefits and rebalancing costs. The absolute range of 6% to 8% and the complete-way back rebalancing technique outperforms others. None of the rebalancing techniques improves tax-adjusted profits and risk-adjusted returns simultaneously.
Keywords:
agent-based modeling; mean-variance portfolio optimization; risk-aversion; tolerance band rebalancing

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