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? ...
I want to calculate a bandwith rebalancing machanism for a portfolio of two assets. As soon as the performance of one ov the assets gets bigger or smaller than the other one + a defined tolerance ...
I'm wondering what the effects of downsampling time series' can have on estimating their correlation and how this horizon should be chosen in relation to rebalancing frequency. An example would be if ...