Portfolio Rebalancing: A Test of the Markowitz-Van Dijk Heuristic
Institutional investors usually employ mean-variance analysis to determine optimal portfolio weights. Almost immediately upon implementation, however, the portfolio’s weights become sub-optimal as changes in asset prices cause the portfolio to drift away from the optimal targets. In an idealized...
| Main Authors: | , , |
|---|---|
| Format: | Working Paper |
| Language: | en_US |
| Published: |
2007
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/1721.1/37153 |