When to efficiently rebalance a portfolio

Ando, Masayuki; Fukasawa, Masaaki

Quantitative Finance, 2024, 24(9), 1235-1245

Number of Access:60（2025-08-15 01:09 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/11094/101964

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Title
When to efficiently rebalance a portfolio
Creator
CreatorName
Ando, Masayuki
NRID
1000070506451 1000070506451
ORCID
0000-0002-0848-5001 0000-0002-0848-5001
researchmap permalink
read0140655 read0140655
Scopus Author ID
24366273400 24366273400
CreatorName
Fukasawa, Masaaki
Subject
Discretization of stochastic integrals
Asymptotic analysis
Constant weight asset allocation
Impulse control
Pearson's inequality
Description
This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance 24(9) on 8 Jul 2024, available at https://doi.org/10.1080/14697688.2024.2371479.
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.
Publisher
Routledge
Source Title
Quantitative Finance
Volume (Issue)
24(9)
Page
1235-1245
Date of Issued
2024-07-08
Language
English
Handle URL
https://hdl.handle.net/11094/101964
PISSN
14697688
eISSN
14697696
Relation.isVersionOf
DOI (Publisher Version)
https://doi.org/10.1080/14697688.2024.2371479
Access Rights
embargoed access
CopyRight
This article is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
The full-text file will be made open to the public on 8 January 2026 in accordance with the publisher's policy.
oaire:version
Accepted Manuscript
Category
学術雑誌論文 Journal Article