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

DOI10.1080/14697688.2014.926020zbMath1398.91513OpenAlexW2164860525MaRDI QIDQ4683073

Mukul Goyal, Sujit Das

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

portfolio optimizationlog-normallog-optimal portfoliodiscrete rebalancingrebalancing frequencyinstantaneous portfolio growthportfolio growth rate

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

On asymptotic log-optimal portfolio optimization

Cites Work

• Unnamed Item
• Computing optimal rebalance frequency for log-optimal portfolios
• KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES

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