Universal Semiconstant Rebalanced Portfolios

Suleyman S. Kozat, Andrew C. Singer

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we investigate investment strategies that can rebalance their target portfolio vectors at arbitrary investment periods. These strategies are called semiconstant rebalanced portfolios in Blum and Kalai and Helmbold et al. Unlike a constant rebalanced portfolio, which must rebalance at every investment interval, a semiconstant rebalanced portfolio rebalances its portfolio only on selected instants. Hence, a semiconstant rebalanced portfolio may avoid rebalancing if the transaction costs outweigh the benefits of rebalancing. In a competitive algorithm framework, we compete against all such semiconstant portfolios with an arbitrary number of rebalancings and corresponding rebalancing instants. We investigate this framework with and without transaction costs and demonstrate sequential portfolios that asymptotically achieve the wealth of the best semiconstant rebalanced portfolios whose number of rebalancings and instants of rebalancings are tuned to the individual sequence of price relatives.

Original languageEnglish (US)
Pages (from-to)293-311
Number of pages19
JournalMathematical Finance
Volume21
Issue number2
DOIs
StatePublished - Apr 1 2011

Keywords

  • Competitive
  • Portfolio
  • Rebalancing times
  • Universal

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Universal Semiconstant Rebalanced Portfolios'. Together they form a unique fingerprint.

Cite this