This article compares the efficacy of three common transaction-cost-mitigation techniques:
limiting a strategy to cheap-to-trade securities, rebalancing a strategy less frequently, and …

Log-optimal investment portfolio is deemed to be impractical and cost-prohibitive due to
inherent need for continuous rebalancing and significant overhead of trading cost. We study …

Diderich describes tools and techniques, which can be used to develop quantitative models
for actively managing investment products, and focuses on how theoretical models can and …

The pure form of log-optimal investment strategies are often considered to be impractical
due to the inherent need for continuous rebalancing. It is however possible to improve …

We determine an opportune time to rebalance a two-asset portfolio set up using the single
period Markowitz framework. This is achieved by studying and comparing the nature of …

We propose a new method for estimating the covariance matrix of a multivariate time series
of financial returns. The method is based on estimating sample covariances from …

One of the core responsibilities of many institutional traders is managing cash and risk
constraints of a portfolio. Traders often do not take advantage of dark trading and block …

Portfolio rebalancing decisions are crucial to today's portfolio managers especially in high
frequency trading environment. These decisions must be made fast in dynamic market …