Applications of Signed Graphs to Portfolio Turnover Analysis

Portfolio turnover is an important area for portfolio managers and investors, since it significantly impacts returns through higher trading costs and taxes. Currently, methods for assessing the possibility of portfolio turnover are practically non-existent. Using the concept of signed graphs one can...

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Bibliographic Details
Published inProcedia, social and behavioral sciences Vol. 211; pp. 1203 - 1209
Main Authors Vasanthi, B., Arumugam, S., Nagar, Atulya K., Mitra, Sovan
Format Journal Article
LanguageEnglish
Published Elsevier Ltd 25.11.2015
Subjects
balance
portfolio turnover
portfolios
risk management
Signed graph
portfolios
Signed graph
risk management
portfolio turnover
balance
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Summary:Portfolio turnover is an important area for portfolio managers and investors, since it significantly impacts returns through higher trading costs and taxes. Currently, methods for assessing the possibility of portfolio turnover are practically non-existent. Using the concept of signed graphs one can assess the stability of portfolios and thereby the likelihood of portfolio turnover. We demonstrate our method using empirical data from the Indian Stock Exchange and show that portfolios focusing on risk alone can result in higher portfolio turnover, causing misleading portfolio management.
ISSN:1877-0428
1877-0428
DOI:10.1016/j.sbspro.2015.11.160