Analytical solutions of optimal portfolio rebalancing
在均值方差框架下研究多风险资产的最优再平衡问题，推导出无交易区域方程，并在不相关收益、等相关系数和单因子模型等协方差矩阵假设下给出解析解，为投资组合管理提供理论指导。
We study optimal portfolio rebalancing in a mean-variance type framework and present new analytical results for the general case of multiple risky assets. We first derive the equation of the no-trade region, and then provide analytical solutions and conditions for the optimal portfolio under several simplifying yet important models of asset covariance matrix: uncorrelated returns, same non-zero pairwise correlation, and a one-factor model. In some cases, the analytical conditions involve one or two parameters whose values are determined by combinatorial, rather than numerical, algorithms. Our results provide useful and interesting insights on portfolio rebalancing, and sharpen our understanding of the optimal portfolio.