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The Investment Return from a Portfolio with a Dynamic Rebalancing Policy

Published online by Cambridge University Press:  10 June 2011

A.J. Wise
Affiliation:
Watson Wyatt Partners, 21 Tothill Street, Westminster, London, SW1H 9LL, U.K. Tel: +44 (0)20 7222 8033

Abstract

An analysis is made of the effect on portfolio performance if assets are continually rebalanced to constant market value proportions, relative to the passive ‘buy and hold’ strategy. The probability that one strategy outperforms the other is evaluated on the basis of a geometric diffusion model of market prices and by reference to historical data.

Type
Sessional meetings: papers and abstracts of discussions
Copyright
Copyright © Institute and Faculty of Actuaries 1996

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References

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Wise, A.J. (1993). The investment return from a constantly rebalanced asset mix. Transactions of the 3rd AFIR Colloquium, 349.Google Scholar
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