标题： 何时高效地重新平衡投资组合 显示英文标题

标题： When to efficiently rebalance a portfolio

摘要： 一种固定权重的资产配置是一种流行的投资策略，并在合适的连续模型下是最优的。 我们研究在一般多维布朗半鞅资产价格模型下，通过可行的离散时间再平衡来跟踪目标连续再平衡策略的跟踪误差。 在高频渐近框架下，我们推导出一个渐近有效的简单可预测策略序列。 显示英文摘要

摘要： 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.