Numerical perspectives on the rebalancing premium
通过数学分析和蒙特卡洛模拟，量化了再平衡组合相比买入持有组合的额外收益（再平衡溢价），发现该溢价通常低于每年50个基点，且受资产收益序列相关性的影响。
This article provides a comprehensive mathematical and numerical analysis of the rebalancing premium, defined as the additional performance of a rebalanced portfolio over a corresponding buy-and-hold portfolio. We contribute to the existing literature by providing a quantitative perspective on portfolio rebalancing and its potential to enhance long-term investment outcomes. Using analytical expressions and Monte Carlo simulations, we first explore key performance metrics, including the expected growth rates, Sharpe ratios, and the probability of outperformance. Our analysis indicates that the rebalancing premium is typically modest, remaining below 50 basis points annually under realistic parameter values. We show, theoretically and numerically, that the results are also influenced by the serial correlation in asset returns, highlighting the importance of return dynamics in shaping rebalancing benefits.