This paper analyses the properties of two popular portfolio strategies. They are the Buy and Hold strategy and the Discretely Rebalanced strategy. It is assumed that the underlying stocks have a multivariate lognormal distribution. The distribution of the sum of correlated lognormals plays a...

This paper derives limit distributions for the sum of two groups of correlated lognormal variables. The within group correlations are equal and the overall covariance matrix has a specific block structure. We prove that the normalized sum of the two groups of lognormal variables converges to a...

This paper establishes conditions under which a portfolio consisting of the averages of K blocks of lognormal variables converges to a K-dimensional lognormal variable as the number of variables in each block increases. The associated block covariance matrix has to have a special structure where...