When to efficiently rebalance a portfolio
Mathematical Finance
2023-08-21 v1
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.
Keywords
Cite
@article{arxiv.2308.08745,
title = {When to efficiently rebalance a portfolio},
author = {Masayuki Ando and Masaaki Fukasawa},
journal= {arXiv preprint arXiv:2308.08745},
year = {2023}
}