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The Investment Return from a Portfolio with a Dynamic Rebalancing Policy
Published online by Cambridge University Press: 10 June 2011
Abstract
An analysis is made of the effect on portfolio performance if assets are continually rebalanced to constant market value proportions, relative to the passive ‘buy and hold’ strategy. The probability that one strategy outperforms the other is evaluated on the basis of a geometric diffusion model of market prices and by reference to historical data.
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- Sessional meetings: papers and abstracts of discussions
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- Copyright © Institute and Faculty of Actuaries 1996
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