Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm

Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm

Abstract We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals, whereas TR is a pro...

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Bibliographic Details
Main Authors: Mahmut Bağcı, Pınar Kaya Soylu
Format: Article
Language:English
Published: SpringerOpen 2024-03-01
Series:Financial Innovation
Subjects:
Algorithmic trading
Pair trading
Rebalancing algorithm
Crypto-assets
Volatility
Cointegration
Online Access:https://doi.org/10.1186/s40854-023-00590-3

Internet

https://doi.org/10.1186/s40854-023-00590-3

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