If you have a target weights for N assets with monthly returns that are drawn from a multivariate normal distribution with known means and covariances, is there an exact or approximate analytical formula for the expected turnover from rebalacing monthly to the target weights? Turnover will tend to be higher when the correlations of asset are low and volatilities are high.
Asked
Viewed
53 times
5
$\begingroup$
$\endgroup$
