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The Investment Return from a Portfolio with a Dynamic Rebalancing Policy

A.J. Wise

British Actuarial Journal, 1996, vol. 2, issue 4, 975-1001

Abstract: An analysis is made of the effect on portfolio performance if assets are continually rebalanced to constant market value proportions, relative to the passive ‘buy and hold’ strategy. The probability that one strategy outperforms the other is evaluated on the basis of a geometric diffusion model of market prices and by reference to historical data.

Date: 1996
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