Planning for the Efficient Updating of Mutual Fund Portfolios

Once there is a decision of rebalancing or updating a portfolio of funds, the process of changing the current portfolio to the target one, involves a set of transactions that are susceptible of being optimized. This is particularly relevant when managers have to handle the implications of different types of instruments. In this work we present linear programming and heuristic search approaches that produce plans for executing the update. The evaluation of our proposals shows cost improvements over the compared based strategy. The models can be easily extended to other realistic scenarios in which a holistic portfolio management is required