RT Journal Article
SR Electronic
T1 Optimizing Portfolio Transitions
JF Trading
FD Institutional Investor Journals
SP 55
OP 58
VO 2001
IS 1
A1 Alan Mason
A1 Cyrus Ramezani
A1 David Rothenberg
YR 2001
UL http://guides.pm-research.com/content/2001/1/55.abstract
AB The goal of a transition manager is to balance opportunity costs with market impact costs, and implement portfolio restructurings at the lowest-possible transaction costs. If this objective is actually a type of dynamic optimization problem, what characteristics are embodied in an efficient and cost-effective transition manager?