Portfolio Rebalancing

1st Edition

Edward E. Qian

Chapman and Hall/CRC
Published November 6, 2018
Reference - 248 Pages
ISBN 9781498732444 - CAT# K26247
Series: Chapman and Hall/CRC Financial Mathematics Series

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Summary

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.

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