The effective (geometric mean) return of a periodically rebalanced portfolio always exceeds the weighted sum of the component geometric means. Some approximate formulae for estimating this effective return are derived and tested. One special case of these formulae is shown to be particularly simple, and is used to provide easily computed estimates of the benefits of diversification and rebalanc...

In a forthcoming book [Boehm-Turner, 2003], we have analyzed many organizations’ experiences with agile and disciplined methods, and have elaborated our previous characterization [Boehm, 2002] of the “home grounds” in which agile and disciplined methods have been most successful. This analysis has enabled us to determine five critical decision factors that organizations and projects can use to ...

We consider a broad class of dynamic portfolio optimization problems that allow for complex models of return predictability, transaction costs, trading constraints, and risk considerations. Determining an optimal policy in this general setting is almost always intractable. We propose a class of linear rebalancing rules and describe an efficient computational procedure to optimize with this clas...