Computing optimal rebalance frequency for log-optimal portfolios in linear time (Q4683073)
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scientific article; zbMATH DE number 6939279
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing optimal rebalance frequency for log-optimal portfolios in linear time |
scientific article; zbMATH DE number 6939279 |
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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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