The rebalancing tag has no wiki summary.
4
votes
1answer
188 views
What procedure do leveraged ETFs use to limit losses?
I've skimmed through more than one ETF prospectus trying to find the procedure for clamping losses at the limits of an ETF, and so far, no help. Has anyone found a description of the "clamping" ...
6
votes
2answers
455 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) ...
3
votes
0answers
140 views
Benefits of Diversification and Rebalancing with negatively skewed leptokurtic return distribution?
I am missing tools to investigate this issue. I am trying to solve this question here. What kind of issues should you acknowledge over the naive diversification/rebalancing with normal distribution? ...
13
votes
1answer
534 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 ...
