publication . Article . Other literature type . 2009

Analysis of the rebalancing frequency in log-optimal portfolio selection

Kuhn, Daniel; Luenberger, David G.;
Open Access
  • Published: 29 Apr 2009
  • Country: Switzerland
Abstract
In a dynamic investment situation, the right timing of portfolio revisions and adjustments is essential to sustain long-term growth. A high rebalancing frequency reduces the portfolio performance in the presence of transaction costs, whereas a low rebalancing frequency entails a static investment strategy that hardly reacts to changing market conditions. This article studies a family of portfolio problems in a Black-Scholes type economy which depend parametrically on the rebalancing frequency. As an objective criterion we use log-utility, which has strong theoretical appeal and represents a natural choice if the primary goal is long-term performance. We argue th...
Subjects
free text keywords: Wirtschaft, Economic Statistics, Econometrics, Business Informatics, Financial Planning, Accountancy, Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik, Finanzwirtschaft, Rechnungswesen, Theorieanwendung, theory application, General Economics, Econometrics and Finance, Finance, Kelly criterion, Investment strategy, business.industry, business, Economics, Diversification (marketing strategy), Market conditions, Microeconomics, Transaction cost, Financial economics, Portfolio, Business studies, ddc:330
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publication . Article . Other literature type . 2009

Analysis of the rebalancing frequency in log-optimal portfolio selection

Kuhn, Daniel; Luenberger, David G.;