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A Mathematical and Empirical Analysis of Rebalancing Alpha

Qian, Edward E. - 2015

Rebalancing alpha is the excess return of a fixed-weight portfolio, which is regularly rebalanced, over its buy-and-hold counterpart. Two kinds of effects, both results of portfolio rebalancing, contribute to rebalancing alpha. The first is a volatility effect that arises from randomness of...

Persistent link: https://www.econbiz.de/10013031203