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When to efficiently rebalance a portfolio

Authors :
Ando, Masayuki
Fukasawa, Masaaki
Publication Year :
2023

Abstract

A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalancing strategy by a feasible discrete-in-time rebalancing under a general multi-dimensional Brownian semimartingale model of asset prices. In a high-frequency asymptotic framework, we derive an asymptotically efficient sequence of simple predictable strategies.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2308.08745
Document Type :
Working Paper