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When to efficiently rebalance a portfolio
- 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.
- Subjects :
- Quantitative Finance - Mathematical Finance
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2308.08745
- Document Type :
- Working Paper