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This work discusses the benefits of constrained portfolio turnover strategiesfor small to medium-sized portfolios. We propose a dynamic multi-period modelthat aims to minimize transaction costs and maximize terminal wealth levelswhilst adhering to strict portfolio turnover constraints. Our resultsdemonstrate that using our framework in combination with a reasonable forecast,can lead to higher portfolio values and lower transaction costs on average whencompared to a naive, single-period model. Such results were maintained givendifferent problem cases, such as, trading horizon, assets under management,wealth levels, etc. In addition, the proposed model lends itself to areformulation that makes use of the column generation algorithm which can bestrategically leveraged to reduce complexity and solving times.

Optimizing Transition Strategies for Small to Medium Sized Portfolios