Probability Colloqium
Date
Time
17:00-18:oo
Location
TU Berlin; MA041
Masaaki Fukasawa (Osaka University)

When to efficiently rebalance a portfolio

A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalancing by a feasible finite-time rebalanc- ing under a general multi-dimensional Brownian semimartingale model of asset prices. In a high-frequency asymptotic framework, we derive an asymptotically efficient strategy among simple predictable processes.