Portfolio rebalancing error with jumps and mean reversion in asset prices
نویسندگان
چکیده
منابع مشابه
Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices
We analyze the error between a discretely rebalanced portfolio and its continuously rebalanced counterpart in the presence of jumps or mean-reversion in the underlying asset dynamics. With discrete rebalancing, the portfolio’s composition is restored to a set of fixed target weights at discrete intervals; with continuous rebalancing, the target weights are maintained at all times. We examine th...
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Transaction costs can make it unprofitable to rebalance all the way to the ideal portfolio. A single-period analysis using mean-variance theory provides many interesting insights. With fixed or variable costs, there is a non-trading region within which trading does not pay. With only variable costs, any trading is to the boundary of the non-trading region, while fixed costs induce trading to th...
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ژورنال
عنوان ژورنال: Stochastic Systems
سال: 2011
ISSN: 1946-5238
DOI: 10.1214/10-ssy015