Computing optimal rebalance frequency for log-optimal portfolios in linear time

DOI10.1080/14697688.2014.926020MaRDI QIDQ4683073zbMATH OpenOpenAlexFDO

Authors Sujit Das, Mukul Goyal

Publication date 19 September 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2014.926020

zbMATH Keywords

discrete rebalancinginstantaneous portfolio growthlog-normallog-optimal portfolioportfolio growth rateportfolio optimizationrebalancing frequency

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Computing optimal rebalance frequency for log-optimal portfolios
• scientific article; zbMATH DE number 1561766 (Why is no real title available?)
• KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES

Cited in

(6)

• Amortized constant relaxed rebalancing using standard rotations
• Rebalancing with Linear and Quadratic Costs
• Analysis of the rebalancing frequency in log-optimal portfolio selection
• Computing optimal rebalance frequency for log-optimal portfolios
• On asymptotic log-optimal portfolio optimization
• A polynomial optimization approach to constant rebalanced portfolio selection

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