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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Published in | Procedia, social and behavioral sciences Vol. 211; pp. 1203 - 1209 |
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Main Authors | , , , |
Format | Journal Article |
Language | English |
Published |
Elsevier Ltd
25.11.2015
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Subjects | |
Online Access | Get full text |
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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. |
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ISSN: | 1877-0428 1877-0428 |
DOI: | 10.1016/j.sbspro.2015.11.160 |