Michael Rockinger
SFI Faculty Member, Professor of Finance, University of Lausanne
Michael Rockinger is Professor of Finance at the University of Lausanne. Professor Rockinger is an active member of the Center for Risk Management at Lausanne (CRML), which focuses on diffusing independent and transparent decision-making tools for banks, insurance companies, and industrial firms. He is also a research fellow of the Society for Financial Econometrics and is a regular speaker at leading conferences in his areas of expertise.
Expertise
Professor Rockinger studies how a rebalancing strategy dominates a buy-and-hold strategy when transaction costs exist. As the value of risky assets in an investment portfolio changes over time, the portfolio must be rebalanced regularly to maintain the initial strategic allocation determined by the investor's risk tolerance. Using nearly 20 years of data covering risk-free assets, bonds, and several equity indices, he demonstrates that when transaction costs are lower than 0.5 percent investors who reallocate their portfolios monthly outperform those who use a simple buy-and-hold strategy. This result is of particular interest to pension funds in today's fluctuating interest rate environment.
Expertise Fields
- Financial Markets
- Systemic Risk and Regulation
- Portfolio Management and Asset Classes
- Asset Pricing
- Equities
- Fixed Income
- Foreign Exchange
- Options and Other Derivatives
- Portfolio Management
- Real Estate
- Financial Institutions
- Pension Funds
- Frontier Topics
- Big Data and Fintech