Evstigneev, Igor V.; Dempster, Michal A. H.; … - In: Finance and Stochastics 7 (2003) 2, pp. 263-276
The paper analyzes the long-run performance of dynamic investment strategies based on fixed-mix portfolio rules. Such rules prescribe rebalancing the portfolio by transferring funds between its positions according to fixed (time-independent) proportions. The focus is on asset markets where...