University of St.Gallen
research platform alexandria
Publikationen durchsuchen
Publikationen filtern
nach Person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
nach Jahr

Analysis of the rebalancing frequency in log-optimal portfolio selection

Daniel Kuhn & David G. Luenberger

Volltext etc. Volltext nicht hinterlegt
Kurzfassung 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 that continuous rebalancing only slightly outperforms discrete rebalancing if there are no transaction costs and if the rebalancing intervals are shorter than about one year. Our analysis also reveals that diversification has a dual effect on the mean and variance of the portfolio growth rate as well as on their sensitivities with respect to the rebalancing frequency.
   
Typ Artikel (wissenschaftliche Zeitschrift)
   
Schlagwörter (Tags) Portfolio selection, Log utility, Growth-optimal portfolio, Rebalancing frequency, Kelly criterion
   
Sprache Englisch
Art des Artikels Journal Artikel
Erscheinungsdatum 1-2-2010
Zeitschrift Quantitative Finance
Verlag Routledge (Milton Park, UK)
ISSN 1469-7688
ISSN (online) 1469-7696
DOI 10.1080/14697680802629400
Jahrgang bzw. Volume 10
Nummer bzw. Issue 2
Seite(n) 221-234
Review Double-Blind Review
   
Zitation Kuhn, Daniel ; Luenberger, David G.: Analysis of the rebalancing frequency in log-optimal portfolio selection. In: Quantitative Finance 10 (2010), Nr. 2, S. 221-234, DOI:10.1080/14697680802629400.