Computing optimal rebalance frequency for log-optimal portfolios in linear time (Q4683073)
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scientific article; zbMATH DE number 6939279
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| English | Computing optimal rebalance frequency for log-optimal portfolios in linear time |
scientific article; zbMATH DE number 6939279 |
Statements
Computing optimal rebalance frequency for log-optimal portfolios in linear time (English)
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19 September 2018
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log-optimal portfolio
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log-normal
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portfolio optimization
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rebalancing frequency
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discrete rebalancing
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portfolio growth rate
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instantaneous portfolio growth
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0.9741957
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0.92574304
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0.89174867
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0.8705466
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0.8677417
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0.86373776
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0.8611654
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0.86002403
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0.86001205
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