Computing optimal rebalance frequency for log-optimal portfolios
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Publication:5245907
DOI10.1080/14697688.2014.887219zbMath1402.91683OpenAlexW1998991301MaRDI QIDQ5245907
Dmitri Kaznachey, Mukul Goyal, Sujit Das
Publication date: 16 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2014.887219
portfolio optimizationlog-normallog-optimal portfoliodiscrete rebalancingrebalancing frequencyinstantaneous portfolio growthportfolio growth rate
Related Items (2)
On asymptotic log-optimal portfolio optimization ⋮ Computing optimal rebalance frequency for log-optimal portfolios in linear time
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