(Chapman and Hall/CRC Financial Mathematics Series) 1st Edition
by Edward E. Qian (Author)
The goal of Portfolio Rebalancing
is to provide mathematical and empirical analysis of the effects of
portfolio rebalancing on portfolio returns and risks. The mathematical
analysis answers the question of when and why fixed-weight portfolios
might outperform buy-and-hold portfolios based on volatilities and
returns. The empirical analysis, aided by mathematical insights, will
examine the effects of portfolio rebalancing in capital markets for
asset allocation portfolios and portfolios of stocks, bonds, and
commodities.
