When to efficiently rebalance a portfolio
研究了在资产价格服从多维布朗半鞅模型时，通过离散时间再平衡来跟踪连续再平衡策略的误差，并推导出渐近有效的简单可预测策略序列。
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 strategy by a feasible discrete-in-time rebalancing under a general multi-dimensional Brownian semimartingale model of asset prices. In a high-frequency asymptotic framework, we derive an asymptotically efficient sequence of simple predictable strategies.