Tagged Questions
6
votes
2answers
452 views
optimal re-balancing strategy with asynchronous alpha signal
You want to construct an optimal portfolio.
Let's say you have an alpha signal that arrives with some period (say quarterly). The alpha signal predicts arithmetic returns one-year ahead. You have ...
6
votes
2answers
1k views
robust portfolio optimization re-balancing with transaction costs
The optimal re-balancing strategy takes account of factors including i) objective function, ii) current portfolio weights, iii) expected return vector containing updated views/alpha forecasts, iv) ...
13
votes
1answer
529 views
Diversification, Rebalancing and Different Means
I have found many financial authors making generalizations about GM and AM but they are wrong in certain circumstances. Could someone explain their reasoning?
My fact why they are wrong is based ...
