Constant rebalancing strategies with minimal risk
The numerical characteristics of constant rebalancing strategies for a portfolio of one risk-free and two risky assets were studied. Constant rebalancing means that the current capital at the end of each period is distributed over all assets of the next period in the same (constant) proportions. In...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Kazan Federal University
2019-12-01
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| Series: | Учёные записки Казанского университета: Серия Физико-математические науки |
| Subjects: | |
| Online Access: | https://kpfu.ru/uz-eng-phm-2019-4-6.html |
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